A futures price is currently 60 and its volatility is 30%. The risk-free interest rate
Chapter 18, Problem 18.12(choose chapter or problem)
A futures price is currently 60 and its volatility is 30%. The risk-free interest rate is 8% per annum. Use a two-step binomial tree to calculate the value of a six-month European call option on the futures with a strike price of 60. If the call were American, would it ever be worth exercising it early?
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