Question: Use Blacks model for futures options to estimate the value of a call option on the Pepsi futures contract. The key data to price the

Use Blacks model for futures options to estimate the value of a call option on the Pepsi futures contract. The key data to price the futures option is given below:

Cash market price of Pepsi =120$ per can

Futures price = 105$ per can Strike price = 108$ per can Risk-free interest rate (continuously compounded = 3% per year

Volatility= 35% per year Maturity of the futures = 3 months

Maturity of the futures option = 2 months

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