Determine the appropriate price of a European put on a futures if the call is worth $6.55,the continuously compounded 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

Using the put-call parity for futures options: P = C + Xe^(-rT) - F. Substituting the given values, P = 6.55 + 75e^(-0.056*0.25) - 80 = 1.62.

Determine the Appropriate Price of a European Put on a Futures