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Using the information in the previous problem, calculate the price of the put described in problem, using the Black model for pricing puts.

Problem
Suppose you observe a one-year futures price of $100, the futures option strike price of $90, and a 5 percent interest rate (annual compounding). If the futures option call price is quoted at $9.40, identify any arbitrage and explain how it would be captured.

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Financial Management, Finance

Category:- Financial Management
Reference No.:- M92078670

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