Question: We have a forward start call which begins at t 0 =1 and exercise date T=2 with S 0 = 100 , u=0.05 , d=

We have a forward start call which begins at t0=1 and exercise date T=2 with S0= 100 , u=0.05 , d= -0.05 , interest rate r = 0.02 .

FSCt shall be the value in t. Calculate FSC0

We use discrete time in the Cox-Ross-Rubinstein Model

Riskneutral probabilities are p=0.7 and (1-p)= 0.3

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