Suppose XYZ is a non-dividend-paying stock. Suppose S = $100, = 40%, = 0, and

Question:

Suppose XYZ is a non-dividend-paying stock. Suppose S = $100, σ = 40%, δ = 0, and r = 0.06.
a. What is the price of a 105-strike call option with 1 year to expiration?
b. What is the 1-year forward price for the stock?
c. What is the price of a 1-year 105-strike option, where the underlying asset is a futures contract maturing at the same time as the option?