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The futures price is F0 = 39: The annual risk-free interest rate is r = 10% per year and the annual volatility of the futures

The futures price is F0 = 39: The annual risk-free interest rate is r = 10% per year and the annual volatility of the futures price is = 30%: Use the Black-Scholes model to find the value of a 3 month European put futures option with K = 40:

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