The risk free rate is 6 and the volatility is 35 per annum


Use a three time step tree to value a nine month American call option on wheat futures. The current futures price is 400 cents, the strike price is 420 cents. The risk free rate is 6% and the volatility is 35% per annum. Estimate the delta of the option from your tree.

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Financial Management: The risk free rate is 6 and the volatility is 35 per annum
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