Question 18. An option is said to be at-the-money forward if its strike price is at the same level as the market price for a forward contract on the underlying security, that is, K = SerT. a. In the BSM model, show that the price of an at-the-money forward call is := S [N (VT) - N(VT)]. b. Using the following Taylor approximation for the cumulative standard normal distribution function, N(0) > N(0) + N (0)d+ (0) derive an approximation to the price of an at-the-money forward call of the form -XYZ 27 where X, Y, and Z should be filled in with symbols from the list T, VT,P, S, A,0,1,2, 0. Question 18. An option is said to be at-the-money forward if its strike price is at the same level as the market price for a forward contract on the underlying security, that is, K = SerT. a. In the BSM model, show that the price of an at-the-money forward call is := S [N (VT) - N(VT)]. b. Using the following Taylor approximation for the cumulative standard normal distribution function, N(0) > N(0) + N (0)d+ (0) derive an approximation to the price of an at-the-money forward call of the form -XYZ 27 where X, Y, and Z should be filled in with symbols from the list T, VT,P, S, A,0,1,2, 0