Suppose S = $100, K = $95, = 30%, r = 0.08, = 0.03, and

Question:

Suppose S = $100, K = $95, σ = 30%, r = 0.08, δ = 0.03, and T = 0.75.
a. Compute the Black-Scholes price of a call.
b. Compute the Black-Scholes price of a call for which S = $100 × e
−0.03×0.75,
K = $95 × e
−0.08×0.75, σ = 0.3, T = 0.75, δ = 0, r = 0. How does your answer compare to that for (a)?