Volatility of the futures price

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Reference no: EM13952328

Calculate the value of a three-month European put futures option when the futures price is $18, the strike price is $20, the risk-free rate is 10% per annum, and the volatility of the futures price is 30% per annum. Use DervaGem to check your price calculation.

1. Show value of d1.

2. Show value of d2.

3. Calculate the price of the put option.

Reference no: EM13952328

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