What is the value of a European call futures option where the futures price is 50,the strike price is 50,the risk-free rate is 5%,the volatility is 20% and the time to maturity is three months?
A) 49.38N(0.05)-49.38N(-0.05)
B) 50N(0.05)-50N(-0.05)
C) 49.38N(0.1)-49.38N(-0.1)
D) 50N(0.1)-49.38N(-0.1)

Question

Quizplus · Accepted Answer

The value of a European call futures option is calculated using the Black-Scholes formula for futures options. The correct formula is 49.38N(0.05)-49.38N(-0.05), where 49.38 is the present value of the futures price discounted at the risk-free rate.

What Is the Value of a European Call Futures Option