D & R A1 5 - 2 Question 5. Pricing Option on Futures Today is September 1. A futures contract on crude oil expiring on December 20 of the same year has a futures price of $44.70. The volatility on the...

D & R A1 5 - 2

Question 5. Pricing Option on Futures

Today is September 1. A futures contract on crude oil expiring on December 20 of the same year has a futures price of $44.70. The volatility on the futures contract is 23%, and the continuously compounded risk-free rate is 2%. Assume that there are 365 days in a year.

1. What is the Black model price of a European put option on this futures contract, expiring on December 20 and with an exercise price of $50?