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A stock will either go up to uS or down to dS next period. The risk-free rate is r. I'm using replicating portfolios to derive the premium on a futures contract with futures price F. What would the futures price need to be for this premium to equal zero?

  • There is no premium on a futures contract. Are you confusing them with options? – ThatDataGuy Dec 31 '19 at 20:26

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