Assume that the market contains one single risky asset with price process governed by the Black-Scholes...

 

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Assume that the market contains one single risky asset with price process governed by the Black-Scholes model such that dSt = µStdt + σStdBt with the interest rater is constant. There is a forward contract on the risky asset with maturity T' > 0. What is the price of a European call on the forward with maturity T < T'and strike K? Assume that the market contains one single risky asset with price process governed by the Black-Scholes model such that dSt = µStdt + σStdBt with the interest rater is constant. There is a forward contract on the risky asset with maturity T' > 0. What is the price of a European call on the forward with maturity T < T'and strike K?

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z Y Assume the Market Conta Single risky asset with bla... View the full answer