20. An option is said to be at-the-money-forward (ATMF) if the strike price equals the for...

20. An option is said to be at-the-money-forward (ATMF) if the strike price equals the forward price on the stock for that maturity. Assume there are no dividends, so the ATMF strike K satisfies St = PV(K) = e^-r(T-t)K. Show that the value of an ATMF call in the Black-Scholes world is given by

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