European call options on silver futures

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Reference no: EM131453485

What is the delta of a short position in 1000 european call options on silver futures? The options mature in 8 months, and the future contract underlying the option matures in 9 months. The current 9-month futures price is $8 per ounce, the exercise price of the options is $8, the risk-free interest 12% per annum, and the volatility of silver is 18% per annum.

Reference no: EM131453485

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