Lower bound for the value of the futures option

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Reference no: EM131548464

Consider a three-month put option on a futures with a strike price of $350 when the risk-free interest rate is 5% per annum on a continuously compounded basis. The current futures price is $320. What is a lower bound for the value of the futures option if it is (a) European and (b) American?

Reference no: EM131548464

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