Given: We observe today that a European-style 1-year at-the-money forward call on stock XYZ (non-dividend-paying) is trading at 6% of the price of the underlying stock. Note: Recall that at-the-money (ATM) forward means that the strike price of the option equals today's forward price for the stock for the expiration date. [a] Compute the implied volatility at that call price. (Assume that the interest rate is 0%.) [b] Show that the European-style ATM forward call and put (same expiry) must trade at the same premium. (Hint: Use put/call parity) [c] In general show that the option premium for a European-style ATM forward option (call or put) satisfies asymptotically: Option Price =0.40 x S xo/T for o/T 1 where S = current stock price, o = volatility, and T = time to expiry (in years) Hint: Use the approximation sqrt(21) =~2.5