Lsquolsquothe price of an at-the-money european call, Financial Management

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Lsquolsquothe price of an at-the-money european call

1. ‘‘The price of an at-the-money European call futures option always equals the price of a similar at-the-money European put futures option.'' Explain why this statement is true.

2. Suppose that a futures price is currently 30. The risk-free interest rate is 5% per annum. A three-month American call futures option with a strike price of 28 is worth 4. Calculate bounds for the price of a three-month American put futures option with a strike price of 28.

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Financial Management: Lsquolsquothe price of an at-the-money european call

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Financial Management: Lsquolsquothe price of an at-the-money european call

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