Futures contract underlying the option matures

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What is the delta of a short position in 4,000 European call options on gold futures? The options mature in eight months, and the futures contract underlying the option matures in nine months. The current nine-month futures price is $10 per ounce, the exercise price of the options is $10, the risk-free interest rate is 14% per annum, and the volatility of gold is 25% per annum.

Reference no: EM131023206

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