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Calculate the value of a six-month european put

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Reference no: EM133204899

Calculate the value of a six-month European put on oil futures with a strike price of $62? The futures price is currently $59 per barrel, its volatility is 20% p.a., and the risk-free interest rate is 4% p.a. Assume that each option is for 1,000 barrels of oil. Use the appropriate formula and show all calculations, explicitly identifying the value of d1 and d2.

Reference no: EM133204899

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