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Calculate the value of a 6-month European call futures option when the futures price is $21, the strike price is $20, the risk-free rate is
Calculate the value of a 6-month European call futures option when the futures price is $21, the strike price is $20, the risk-free rate is 12% per annum and the volatility of the futures price is 20% per annum.
a. 0.63
b. 0.68
c. 1.57
d. 1.62
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