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5. (10 points) Assume that the current price of futures on Japanese yen is 100 and the exercise price on the futures is 85. Volatility

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5. (10 points) Assume that the current price of futures on Japanese yen is 100 and the exercise price on the futures is 85. Volatility of the futures price is 13%. The risk-free rate in the U.S is 3.2% per annum. And the future option is going to mature one year from now on. What is the value of the future call option

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