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A futures price is currently 50. At the end of six months it will be either 56 or 45. The risk-free interest rate is 3%
A futures price is currently 50. At the end of six months it will be either 56 or 45. The risk-free interest rate is 3% per annum (continuously compounded). What is the value of a six-month European put option with a strike price of 49? How would you hedge this option if you bought it? Please show all work and also how you would hedge it
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