10. A stock is currently trading at $24. Assume that its volatility is 35% and the term-st...

10. A stock is currently trading at $24. Assume that its volatility is 35% and the term-structure of interest rates is flat at 6%.

(a) What is the price of a forward start call option with T* = 1 year, year, and = 1.10? Note that T* is maturity of the forward start period, and is the maturity of the option once started. Also, a is the strike multiplier, i.e., strike

(b) What is the delta of this option?