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If expiration price of a futures = TWAP of ABC Index from 1pm 3pm. Say ABC Index = 10000 at 1pm, TWAP from 1pm to

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If expiration price of a futures = TWAP of ABC Index from 1pm 3pm. Say ABC Index = 10000 at 1pm, TWAP from 1pm to 1:30pm = 12500, 13000 at 1:30pm = What is the price of a ATM call option with one year maturity, without using black scholes formula? Assume the underlying stock has 10% projected volatility and risk free rate is 0%.| If expiration price of a futures = TWAP of ABC Index from 1pm 3pm. Say ABC Index = 10000 at 1pm, TWAP from 1pm to 1:30pm = 12500, 13000 at 1:30pm = What is the price of a ATM call option with one year maturity, without using black scholes formula? Assume the underlying stock has 10% projected volatility and risk free rate is 0%.|

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