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The strike price of a futures option is 5 5 0 cents, the risk - free rate of interest is 3 % , the volatility
The strike price of a futures option is cents, the riskfree rate of interest is the volatility of the futures price is and the time to maturity of the option is months. The futures price is cents.
a What is the price of the option if it is a European call?
b What is the price of the option if it is a European put?
c Verify that putcall parity holds.
d What is the futures price for a futures style option if it is a call?
e What is the futures price for a futures style option if it is a put?
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