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2) A futures contract is trading at 100. a) What is the price of a 3-month at-the-money put if the risk-free rate is 6% and

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2) A futures contract is trading at 100. a) What is the price of a 3-month at-the-money put if the risk-free rate is 6% and the volatility is 20%? b) What is the delta of the option? c) Estimate, using delta, the price of the same put if the stock now trades at 101. (Remember how to value an option on a futures contract)

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