Question
Assume that the market contains one single risky asset with price process governed by the Black-Scholes model dSt = S_t dt + S_t dBt; and
Assume that the market contains one single risky asset with price process governed by the Black-Scholes model dSt = S_t dt + S_t dBt; and the interest rate r is constant. There is a forward contract on the risky asset with maturity T 0 > 0.
What is the price of a European call option on the forward contract, with maturity T < T 0 and strike K ?
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Investment Analysis And Portfolio Management
Authors: Frank K. Reilly, Keith C. Brown
9th Edition
0324656122, 978-0324656121
