Consider a two-month call futures option with a strike price of 40 when the risk-free
Chapter 18, Problem 18.10(choose chapter or problem)
Consider a two-month call futures option with a strike price of 40 when the risk-free interest rate is 10% per annum. The current futures price is 47. What is a lower bound for the value of the futures option if it is (a) European and (b) American?
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