sparksy5421 sparksy5421
  • 24-05-2023
  • Business
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C. A futures price is currently 26, its volatility is 20% per annum, and the risk- free interest rate is 10% per annum. What is the value of a nine-month European call on the futures with a strike price of 27? (Hint: see formula sheet for Black-Scholes formula.) (30%)

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