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    Black-Scholes Model : Value of European Call Option on a Futures Contract

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    What is the value of a European call option on a futures contract when the futures contract price is $20, the strike price is $20, the risk free interest rate is 10% per annum, the volatility is 40% per annum, and the time to maturity is one year.

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    What is the value of a European call option on a futures contract when the futures contract price is $20, the strike price is $20, the risk free interest rate is 10% per annum, the volatility is 40% per annum, and the time to maturity is one year.

    The Black-Scholes Model
    The Black-Scholes model is used to ...

    Solution Summary

    The Black-Scholes Model is used to find the Value of a European Call Option on a Futures Contract. The solution is detailed and well presented.

    $2.19

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