18. You have been asked to construct an oil contract that has the following characteristics: The initial

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18. You have been asked to construct an oil contract that has the following characteristics:

The initial cost is zero. Then in each period, the buyer pays S − F, with a cap of $$21.90$ − F and a floor of $$19.90$ − F. Assume oil volatility is 15%. What is F?

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Derivatives Markets Pearson New International Edition

ISBN: 978-1292021256

3rd Edition

Authors: Robert L. Mcdonald

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Question Posted: Jul 22, 2024 07:02 AM

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18. You have been asked to construct an oil contract that has the following characteristics: The initial

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Derivatives Markets Pearson New International Edition

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