Suppose XYZ is a non-dividend-paying stock. Suppose = $100, = 40%, = 0, and = 0.06. a. What is the price of a 105-strike call option with 1 year to expiration? b. What is the 1-year forward...

Suppose XYZ is a non-dividend-paying stock. Suppose

= $100,

= 40%,

= 0, and

= 0.06.

a. What is the price of a 105-strike call option with 1 year to expiration?

b. What is the 1-year forward price for the stock?

c. What is the price of a 1-year 105-strike option, where the underlying asset is a futures contract maturing at the same time as the option?