Question
Assume the Black-Scholes framework. The 1-year futures price for stock LMN is $270. The volatility is 30%, and the interest rate is 4%. What is
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Assume the Black-Scholes framework. The 1-year futures price for stock LMN is $270. The volatility is 30%, and the interest rate is 4%. What is the price of a 280-strike call option price on the LMN futures contract, expiring 9 months from today?
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Finance
Authors: Angelico Groppelli, Ehsan Nikbakht
7th Edition
1438010362, 9781438010366
