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The price of a 6-month futures contract is 345 and the strike price is 340 with a risk-free rate of 5% compounded continuously. The volatility
The price of a 6-month futures contract is 345 and the strike price is 340 with a risk-free rate of 5% compounded continuously. The volatility of the futures contract is 0.25. Consider the option as European call option and calculate the price of the option. Answer choices: a. 25.95 b. 18.92 c. 25.98 d. 26.05 Answer B c D
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Intermediate Financial Management
Authors: Eugene F. Brigham, Louis C. Gapenski
4th Edition
0030754828, 978-0030754821
