2. [10 marks] Black-Scholes model: European claim. We place ourselves within the setup of the Black-Scholes market model M = (B, S) with a unique martingale measure P. Consider a European contingent claim X with maturity T and the following payoff X = max(K,ST) - LST where K = et S, and L > 0) is an arbitrary constant. We take for granted the Black-Scholes pricing formulae for the call and put options. (d) Find the limit lim 5 700 T0(X). 2. [10 marks] Black-Scholes model: European claim. We place ourselves within the setup of the Black-Scholes market model M = (B, S) with a unique martingale measure P. Consider a European contingent claim X with maturity T and the following payoff X = max(K,ST) - LST where K = et S, and L > 0) is an arbitrary constant. We take for granted the Black-Scholes pricing formulae for the call and put options. (d) Find the limit lim 5 700 T0(X)