1. (20pt) Consider a futures contract whose underlying asset price St follows a GBM: dSt = r Sidt + o SidW+ where r is the risk-free rate, o is the volatility, and T is the maturity. (a) Derive a stochastic differential equation of the theoretical price Ft of the futures contract. (b) Derive a theoretical price of a European call option whose underlying asset price is Ft. 1. (20pt) Consider a futures contract whose underlying asset price St follows a GBM: dSt = r Sidt + o SidW+ where r is the risk-free rate, o is the volatility, and T is the maturity. (a) Derive a stochastic differential equation of the theoretical price Ft of the futures contract. (b) Derive a theoretical price of a European call option whose underlying asset price is Ft