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Assume the Black-Scholes framework. For a stock, you are given: The price of a 2-year futures contract on the stock is 105. The futures contracts
Assume the Black-Scholes framework. For a stock, you are given:
- The price of a 2-year futures contract on the stock is 105.
- The futures contracts volatility is 0.20.
- The continuous risk-free interest rate is 3%.
Determine the price of a 2-year, 110-strike call option on the futures contract.
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