Multiple Choice
A three-month at-the-money call option on a stock index is trading at $5;the index is trading at $50.A forward start option on the index that comes to life in one month,has a life of three months from that point and that will be at-the-money when it comes to life,is trading at $4.98.The one-month rate of interest is 2% in continuously-compounded and annualized terms.What is the one-month forward price of the index?
A) $50.00
B) $50.05
C) $50.25
D) $50.45
Correct Answer:
Verified
Correct Answer:
Verified
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