A futures price is currently 40 dollars. It is expected to move up to 44...
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A futures price is currently 40 dollars. It is expected to move up to 44 dollars or down to 34 dollars in the next six months. The continuously-compounded risk-free interest rate is 6% per annum. What is the value of a six-month European call on the futures contract with a strike price of 33 dollars? Please note that the option will be in the money in both states. Please provide your answer in unit of dollars without the dollar sign (rounded to the nearest cent).
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