Question: Please show work. 5. Consider a forward start option which, 1 year from today, will give its owner a 1-year European call option with a

Please show work. 5. Consider a forward start option which, 1 year Please show work.

5. Consider a forward start option which, 1 year from today, will give its owner a 1-year European call option with a strike price equal to the stock price at that time (i.e. at the money). You are given: The European call option is on a stock that pays no dividends. The stock's volatility is 30%. The forward price for delivery of 1 share of the stock 1 year from today is 100. The continuously compounded risk-free interest rate is 8%. Determine the price today of the forward start option. A. 11.90 B. 13.10 C. 14.50 D. 15.70 E. 16.80

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