Question: A forward start option is a contract in which the holder receives at time T 0 at no extra cost, an ( European Call type

A forward start option is a contract in which the holder receives at time T0 at no extra cost, an (European Call type) option with expiry date T1> T0 and strike price equal to ST0. Assuming that the underlying price process St follows a Black-Scholes model and the risk free rate is r, find the price FSt of such an option at any times t in [0,T1].

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