A stock is expected to pay a dividend of $2 per share in two months and in five months. The stock price is $40 and the risk-free rate of interest is 8% per annum with continuous compounding for all maturities. An investor has just taken a short position in a six-month forward contract on the stock. What are the forward price and the initial value of the forward contract?

Which is correct?

-FORWARD PRICE = $77.57 INITIAL VALUE = NOT IDENTIFIABLE

-FORWARD PRICE = $37.57 INITIAL VALUE = NOT IDENTIFIABLE

-FORWARD PRICE = $77.57 INITIAL VALUE = -$0.25

-FORWARD PRICE = $37.57 INITIAL VALUE = $0