Using the information in the previous problem calculate the, Financial Management

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Using the information in the previous problem calculate the

Using the information in the previous problem, calculate the price of the put described in problem, using the Black model for pricing puts.

Problem
Suppose you observe a one-year futures price of $100, the futures option strike price of $90, and a 5 percent interest rate (annual compounding). If the futures option call price is quoted at $9.40, identify any arbitrage and explain how it would be captured.

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