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Basic Question 3 of 12
A put option on futures, based on the Black model, is a ______ component minus a ______ component.
B. bond; futures
C. futures; stock
A. stock; bond
B. bond; futures
C. futures; stock
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I passed! I did not get a chance to tell you before the exam - but your site was excellent. I will definitely take it next year for Level II.
Tamara Schultz
Learning Outcome Statements
describe how the Black model is used to value European options on futures;
describe how the Black model is used to value European interest rate options and European swaptions;
CFA® 2025 Level II Curriculum, Volume 5, Module 32.