Employing the black-scholes model calculate the value of a, Finance Basics

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Employing the black-scholes model calculate the value of a

Question: 1. Employing the Black-Scholes model calculate the value of a three-month European put futures option when the futures price is euro 4.50, the strike price is euro 4.95, the risk-free interest rate is 2% per annum, and the volatility of the futures price is 10% per annum.

2. Calculate the delta of the European put futures option. Interpret the calculated value.

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Finance Basics: Employing the black-scholes model calculate the value of a

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