# Compute the Option Price on a Future

Consider a call European option on the Crude Oil Brent futures. The option expires on December 1, 2014 with an exercise price of \$120. Assume that on April 1, 2014 futures price is at \$105, the annualized continuously compounded risk-free rate is 3.5% per annum and volatility is 22% per annum. Using this data, compute the price of the option.

Define the `RateSpec`.

```ValuationDate = datetime(2014,1,1); EndDates = datetime(2015,1,1); Rates = 0.035; Compounding = -1; Basis = 1; RateSpec = intenvset('ValuationDate', ValuationDate, 'StartDates', ValuationDate,... 'EndDates', EndDates, 'Rates', Rates, 'Compounding', Compounding, 'Basis', Basis')```
```RateSpec = struct with fields: FinObj: 'RateSpec' Compounding: -1 Disc: 0.9656 Rates: 0.0350 EndTimes: 1 StartTimes: 0 EndDates: 735965 StartDates: 735600 ValuationDate: 735600 Basis: 1 EndMonthRule: 1 ```

Define the `StockSpec`.

```AssetPrice = 105; Sigma = 0.22; StockSpec = stockspec(Sigma, AssetPrice)```
```StockSpec = struct with fields: FinObj: 'StockSpec' Sigma: 0.2200 AssetPrice: 105 DividendType: [] DividendAmounts: 0 ExDividendDates: [] ```

Define the option.

```Settle = datetime(2014,4,1); Maturity = datetime(2014,12,1); Strike = 120; OptSpec = {'call'};```

Price the futures call option.

`Price = optstockbyblk(RateSpec, StockSpec, Settle, Maturity, OptSpec, Strike)`
```Price = 2.5847 ```