Let = $100, = 30%, = 0.08, = 1, and = 0. Suppose the true expected return on the stock is 15%. Set = 10. Compute European call prices, , and for strikes of $70, $80, $90, $100, $110, $120, and...

Let

= $100,

= 30%,
= 0.08,

= 1, and

= 0. Suppose the true expected return on the stock is 15%. Set

= 10. Compute European call prices,
, and

for strikes of $70, $80, $90, $100, $110, $120, and $130. For each strike, compute the expected return on the option. What effect does the strike have on the option’s expected return?