Question: Problem 5 (10 points). Suppose r = 1,0 = 2, S6 = 1. Find the price, at time t = 0, of the European call

Problem 5 (10 points). Suppose r = 1,0 = 2, S6 = 1. Find the price, at time t = 0, of the European call option with strike K = e expiring at T = 1. You may leave the CDF N) of standard normal in your answer. using: ******* For the following three problems, assume de constants. Letr be the constant interest rate. aSdt + o S.W., where a R,0 > 0 are

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