A company can buy an option for the delivery of one million barrels of oil in three

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A company can buy an option for the delivery of one million barrels of oil in three years at $25 per barrel. The three-year futures price of oil is $24 per barrel. The risk-free interest rate is 5%

per annum with continuous compounding and the volatility of the futures price is 20% per annum. How much is the option worth?

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Options Futures And Other Derivatives

ISBN: 9780130090560

5th Edition

Authors: John C. Hull

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Question Posted: Oct 18, 2024 07:03 AM

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A company can buy an option for the delivery of one million barrels of oil in three

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Options Futures And Other Derivatives

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