##### 24 An analyst gathers the following information about a futures contract expiring in six months: | Calls | Puts | |---------------|---------------| | N(d₁) = 0.45 | N(-d₁) = 0.55 | | N(d₂) = 0.41 | N(-d₂) = 0.58 | The exercise price is $100 and the futures contract is priced at $101.25. Using the Black model, the value of a European call on the futures contract is the present value of: | Chartered Financial Analyst Level 2 Quiz - LeetQuiz

24 An analyst gathers the following information about a futures contract expiring in six months:

Calls Puts
N(d₁) = 0.45 N(-d₁) = 0.55
N(d₂) = 0.41 N(-d₂) = 0.58

The exercise price is $100 and the futures contract is priced at$ 101.25. Using the Black model, the value of a European call on the futures contract is the present value of:

Exam-Like

A

the difference between ( $100×0.45) and ($ 101.25×0.41).

B

the difference between ( $101.25×0.41) and ($ 100×0.45).

C

the difference between ( $101.25×0.45) and ($ 100×0.41).

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