Exercise 4.7 In the Black–Scholes formula (4.21)–(4.22), suppose that S =

K = 100, t = 0, and T = 0.4. Draw the graphs of the option premiums with respect to the volatility σ, 0.01 ≤ σ ≤ 0.6, for the cases that r = 0.05, 0.1, and 0.2.