What is the value of a three month european call option

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Reference no: EM131237812

A futures price is currently 40.

It is known that at the end of three months the price will be either 35 or 45. What is the value of a three-month European call option on the futures with a strike price of 42 if the risk-free interest rate is 7% per annum?

Reference no: EM131237812

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