A futures price is currently 25, its volatility is 30% per annum, and the risk-free interest rate

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A futures price is currently 25, its volatility is 30% per annum, and the risk-free interest rate is 10% per annum. What is the value of a nine-month European call on the futures with a strike price of 26?

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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 07:02 AM

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A futures price is currently 25, its volatility is 30% per annum, and the risk-free interest rate

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Options Futures And Other Derivatives

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