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A 3-month European call on a futures has a strike price of $100. The futures price is $100 and the volatility is 20%. The risk-free

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A 3-month European call on a futures has a strike price of $100. The futures price is $100 and the volatility is 20%. The risk-free rate is 2% per annum with continuous compounding. What is the value of the call option? (Hint: Use Black-Scholes-Merton valuation for futures options) O $4.87 O $5.73 $6.61 $3.96

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