求助！sample第19题的forward start option

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19题的答案是C，但是我算出来是D啊
答案的最后是用了prepaid price of the stock不过dividend是0，所以prepaid price不是应该等于100么？为什么答案还是用了risk free rate进行了折现？
下周考试！！求大神解答！
19. Consider a forward start option which, 1 year from today, will give its owner a
1-year European call option with a strike price equal to the stock price at that time.
You are given:
(i) The European call option is on a stock that pays no dividends.
(ii) The stock’s volatility is 30%.
(iii) The forward price for delivery of 1 share of the stock 1 year from today is
100.
(iv) The continuously compounded risk-free interest rate is 8%.
Under the Black-Scholes framework, determine the price today of the forward start
option.
(A) 11.90
(B) 13.10
(C) 14.50
(D) 15.70
(E) 16.80

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关键词：forward Option Sample Start AMPL forward option start

你这么想，“The forward price for delivery of 1 share of the stock 1 year from today is
100”，所以 S(0)*exp(0.08)=100。 然后算option price的时候要用S(0)，所以就是S(0)=100*exp(-0.08)。代入公式中就行了。

I have same question, I want to know prepaid forward price of stock why sometime use s0^exp(-delta*t) and sometime use r (s*exp-rt)to discount?

syang256 发表于 2014-7-12 09:16
你这么想，“The forward price for delivery of 1 share of the stock 1 year from today is
100”，所以 ...

谢谢解答！原来我把current price和forward price的概念混了……
如果说题目中说的是：current price of the stock is 100，答案应该就是D了吧？anyway，最后是用time=t的prepaid price进行计算，对么？

谢谢！！

simple_317 发表于 2014-7-12 21:36
谢谢解答！原来我把current price和forward price的概念混了……
如果说题目中说的是：current price of ...

对对，最后用time=0的prepaid price（折现到today），题中因为没有dividend，所以代入S(0)。

syang256 发表于 2014-7-13 02:17
对对，最后用time=0的prepaid price（折现到today），题中因为没有dividend，所以代入S(0)。

太感谢了！！！