Question: 1 0 . 1 9 An option has a gold futures contract as the underlying asset. The current 1 - year gold futures price is

10.19 An option has a gold futures contract as the underlying asset. The current 1-year gold futures price is $300/oz, the strike price is $290, the risk-free rate is 6%, volatility is 10%, and time to expiration is 1 year. Suppose n =1. What is the price of a call option on gold? What is the replicating portfolio for the call option? Evaluate the statement: Replicating a call option always entails borrowing to buy the underlying asset.

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