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A futures price is currently 40 cents. It is expected to move up to 44 cents or down to 34 cents in the next six

A futures price is currently 40 cents. It is expected to move up to 44 cents or down to 34 cents in the next six months. The risk-free interest rate is 6%. What is the value of a six month call option with a strike price of 39 cents?

A.3.00 cents
B.4.21 cents
C.5.00 cents
D.2.91 cents

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