Question: Consider a power call option. This option has an extra parameter a > 0. The option pays the amount Sif it is exercised on the

Consider a power call option. This option has an extra parameter a > 0. The option pays the amount Sif it is exercised on the expiration date T. Use the steps in the derivation of the Black-Scholes formula (section 5.5) to find the following price for a power call: expl(a-1)(r+o/2)T + ooT/2] (d)-e-TXN(2), where d = Inte" $/X1/)/V TEOOT/2

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