2. Consider the Black-Scholes prices of a European Futures call and put options: C(F,t) = (FN(d1f) E N(d2f))e -- (T-1), P(F,t) = (E N(-d2f) FN(-d1f))e-r(T-1), In(F/E) + o(T t) _In(F/E) } 0?(T t) dif = a OVT-t ? 25 OVT-t. Compute and simplify these expressions for at-the-money options (where F = E). Use the identity N(-2) = 1-N2), and, since F = E, the at-the-money prices can be expressed in terms of E, t,r, o, T. Comment on the difference between the price of an at-the-money Futures call option and the price of an at-the-money Futures put option. d2f =