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03-06-2023
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Assume the Black-Scholes framework. Consider a 6-month at-the-money European call option on a futures contract. Below is the related information (i) The continuously compounded risk-free interest rate is 9.1%. (ii) The strike price of the option is $25. (iii) The price of the call option is $2.85. If three months later the futures price is $15.3. What is the price of the call option during that time?

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