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Suppose the 120-day futures price on gold is $110 per ounce and the volatility 20%. Interest rates are 3.5%. What is the price of a

Suppose the 120-day futures price on gold is $110 per ounce and the volatility 20%. Interest rates are 3.5%. What is the price of a $115 strike call futures option that expires in 120 days?

ANSWER: $2.99

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