Question For a futures index, you are given that: i) the time-t value of the index is F(t) ii) F(0) = 75 iii) The index's volatility is 35% iv) The continuously compounded risk-free interest rate is 10% A European gap call option has a time-1 payoff of F(1) - Kif F(1) > 85, and is 0 otherwise. Given that the current price of the gap call is o, find K. Possible Answers A 99 B 102 C 105 D 108 E 111