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Price the following option: American futures call option 6 months $50 Option type Time to expiration Strike price Current futures price Volatility of futures Risk-free

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Price the following option: American futures call option 6 months $50 Option type Time to expiration Strike price Current futures price Volatility of futures Risk-free rate Pricing model $55 20% 5% 500-step binomial model O 5.96 6.00 o 7.00 O 7.04 Index options are American-style options. O True False

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