A futures price is currently 60. It is known that over each of the next two 3-mouth
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A futures price is currently 60. It is known that over each of the next two 3-mouth periods it will either rise by 10% or fall by 10%. The risk-free interest rate is 3% per annum. What is the value of a 6-month European call option on the futures with a strike price of 60 If the call were American, would it ever be worth exercising it early?
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