Statement 4 is correct
Can someone explain.
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You mean to say that statement 4 according to book is correct statement?
But call option on a futures is long on futures position & short on bond position portfolio.
According to the book it was correct
But I think ur answer is Correct
Can u explain tho! Im totally confused
See it says call option on futures. So in Black Model formula for valuing call option is
F*N(d1) – PV of X*N(d2)
so the first component in the formula is long position in futures while the second component is short bond position.
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