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Consider a futures contract. Its current price is $60.00 and its volatility is 39.02% per annum. Suppose the risk-free interest rate is 8.17% per annum

Consider a futures contract. Its current price is $60.00 and its volatility is 39.02% per annum. Suppose the risk-free interest rate is 8.17% per annum (continuous compounding).

(a) Use a two-step binomial tree to calculate the value of a six-month European call on the future with a strike price of $60.00.

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