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4) (122) A futures price is currently 70, its volatility is 20% per annum, and the risk-free interest rate is 6% per annum. What is

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4) (122) 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? Use the Black model. 5) (12p) A futures price is currently 50, its volatility is 18% per year, and the risk-free interest rate is 3% per year. What is the value of a 4-month European call on the futures with a strike price of 55? Use the Black model

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