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As an analyst at Bank of America Merrill Lynch, you are evaluating European call futures option and European put futures options. A futures price is
As an analyst at Bank of America Merrill Lynch, you are evaluating European call futures option and European put futures options. A futures price is currently $50. It is expected to move either to $55 or down to $45 over the next three month. The risk-free interest rate is 8% per annum with continuous compounding.
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