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Question 4 (5 marks) The current futures price is $105 with an historical volatility of 10% per annum. The risk-free interest rate is 8% per

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Question 4 (5 marks) The current futures price is $105 with an historical volatility of 10% per annum. The risk-free interest rate is 8% per annum with continuous compounding. Using a two-step binomial tree (the risk-neutral method) calculate the value of a six-month European call futures option with a strike price (exercise price) of $100

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