A futures price is currently 40 cents. It is expected to move up to 44 cents or down to 34 cents in the next six months. The risk-free interest rate is 6% with continuous compounding.
i) What is the probability of an up movement in a risk-neutral world? _ _ _ _ _ _
ii) What is the value of a six-month put option with a strike price of 37 cents? Give two decimal places.) _ _ _ _ _ _
iii) What is the value of a six-month call with a strike price of 33 cents? Give two decimal places.) _ _ _ _ _ _

Question

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The Answer of A futures price is currently 40 cents. It is expected to move up to 44 cents or down to 34 cents in the next six months. The risk-free interest rate is 6% with continuous compounding.
i) What is the probability of an up movement in a risk-neutral world? _ _ _ _ _ _
ii) What is the value of a six-month put option with a strike price of 37 cents? Give two decimal places.) _ _ _ _ _ _
iii) What is the value of a six-month call with a strike price of 33 cents? Give two decimal places.) _ _ _ _ _ _

A Futures Price Is Currently 40 Cents