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The price of a forward contract is 139.19. A European option on the forward contract expires in 180 days. The exercise price is 125. The

The price of a forward contract is 139.19. A European option on the forward contract expires in 180 days. The exercise price is 125. The continuously compounded risk free rate is 4.25%. The volatility is 0.15.

  1. Use the Black Model to determine the price of the call option
  2. Determine the price of the underlying from above information and use the Black Sholes Model to show that the price of an option on the underlying is the same as the price of the option on the forward.

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