A futures price is currently 70, its volatility is 20% per annum, and the risk-free interest rate

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A futures price is currently 70, its volatility is 20% per annum, and the risk-free interest rate is 6% per annum. What is the value of a five-month European put on the futures with a strike price of 65?

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Options Futures And Other Derivatives

ISBN: 9780273759072

8th Global Edition

Authors: John Hull

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Question Posted: Oct 21, 2024 09:01 AM

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A futures price is currently 70, its volatility is 20% per annum, and the risk-free interest rate

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Options Futures And Other Derivatives

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