Determine the appropriate price of a European put on a futures if the call is worth $6.55,the risk-free rate is 5.6 percent,the futures price is $80,the exercise price is $75,and the expiration is in three months.
A)$12.56
B)$0.54
C)$11.48
D)$1.62
E)none of the above

Question

Quizplus · Accepted Answer

The put-call parity for futures options is used: P = C + X/(1+r)^t - F. Substituting the given values: P = 6.55 + 75/(1+0.056)^(0.25) - 80 = 1.62.

Determine the Appropriate Price of a European Put on a Futures