A short forward contract on a dividend-paying stock was entered some time ago.

It currently has 8 months to maturity.

The stock price and the delivery price is $22 and $24 respectively.

The risk-free interest rate with continuous compounding is 6% per annum.

The underlying stock is expected to pay a dividend of $1 per share in 2 months and an another dividend of $1 in 5 months.

What is the current forward price? What is the value of this short forward contract? What is the delivery price for this contract?

Group of answer choices

(a)The current forward price is -20.85; the value of this short forward contract is 3.02; the delivery price for this contract is 24.

(b)The current forward price is 20.85; the value of this short forward contract is 3.02; the delivery price for this contract is 24.

(c)The current forward price is 20.85; the value of this short forward contract is - 3.02; the delivery price for this contract is 20.85.

(d)The current forward price is 22.85; the value of this short forward contract is - 2.02; the delivery price for this contract is 24.

(e)The current forward price is 22.85; the value of this short forward contract is 2.02; the delivery price for this contract is 22.8.

(f)The current forward price is 22.85; the value of this short forward contract is 2.02; the delivery price for this contract is 24.