Let = $100, = $120, = 30%, = 0.08, and = 0. a. Compute the Black-Scholes call price for 1 year to maturity and for a variety of very long times to maturity. What happens to the option price as ...

Let

= $100,
= $120,

= 30%,

= 0.08, and
= 0.

a. Compute the Black-Scholes call price for 1 year to maturity and for a variety of very long times to maturity. What happens to the option price as

b. Set

= 0.001. Repeat (a). Now what happens to the option price? What accounts for the difference?