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13. [12 marks] A European call option has a gold futures contract as the underlying asset. The current 1-year gold futures price is $400/oz, the

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13. [12 marks] A European call option has a gold futures contract as the underlying asset. The current 1-year gold futures price is $400/oz, the strike price is $395, the risk free rate is 5%, volatility is 15% and time to expiration is one year. Use a two-period binomial tree to price this call option

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