Gasoline is currently selling on the wholesale market

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Gasworks, Inc., has been approached to sell up to 3.6 million gallons of gasoline in three months at a price of $2.95 per gallon. Gasoline is currently selling on the wholesale market at $2.80 per gallon and has a standard deviation of 58 percent. If the risk-free rate is 3 percent per year, what is the value of this option?

Reference no: EM132045985

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