a. What is the price of a 105-strike call option with 1 year to expiration? b. What

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a. What is the price of a 105-strike call option with 1 year to expiration?

b. What is the 1-year forward price for the stock?

c. What is the price of a 1-year 105-strike option, where the underlying asset is a futures contract maturing at the same time as the option? LO.1

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Derivatives Markets

ISBN: 978-0321280305

2nd Edition

Authors: Robert L. McDonald

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