Prove that an at-the-money forward start option on a non-dividend-paying stock that will start in three years

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Prove that an at-the-money forward start option on a non-dividend-paying stock that will start in three years and mature in five years is worth the same as a two-year at-the-money option starting today.

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Fundamentals of Futures and Options Markets

ISBN: 978-0132993340

8th edition

Authors: John C. Hull

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Question Posted: Jan 20, 2016 09:04 AM

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Prove that an at-the-money forward start option on a non-dividend-paying stock that will start in three years

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Suppose that is the value of a twoyear option starting ...View the full answer

Fundamentals of Futures and Options Markets

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