2. For European call option with maturity at time T and strike price K, we have the Black-Scholes pricing formula, or function, of this option given by log(x) + (r+%02)(T-1) c(s, t)=SM -Ke-1-1 log()+(r=%02)(1-1) que la OVT-t OVT-t where S is the tradable underlying asset price at time t, r is the interest rate, and o is the volatility parameter in the stochastic model of the underlying asset. Show explicitly that price return of this option function in differential time has risk-free drift term when evaluated with respect to the risk-neutral underlying asset price gt. de(8,, t) =rdt + c dzi c(&pt) (10 points) 2. For European call option with maturity at time T and strike price K, we have the Black-Scholes pricing formula, or function, of this option given by log(x) + (r+%02)(T-1) c(s, t)=SM -Ke-1-1 log()+(r=%02)(1-1) que la OVT-t OVT-t where S is the tradable underlying asset price at time t, r is the interest rate, and o is the volatility parameter in the stochastic model of the underlying asset. Show explicitly that price return of this option function in differential time has risk-free drift term when evaluated with respect to the risk-neutral underlying asset price gt. de(8,, t) =rdt + c dzi c(&pt) (10 points)