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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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