Suppose = $100, = $95, = 30%, = 0.08, = 0.03, and = 0.75. a. Compute the Black-Scholes price of a call. b. Compute the Black-Scholes price of a call for which = $100 × e−0.03×0.75, = $95 ×...

Suppose

= $100,

= $95,

= 30%,

= 0.08,

= 0.03, and

= 0.75.

a. Compute the Black-Scholes price of a call.

b. Compute the Black-Scholes price of a call for which
= $100 × e^{−0.03×0.75},

= $95 × e^{−0.08×0.75},

= 0.3,

= 0.75,

= 0,
= 0. How does your answer compare to that for (a)?