2. For European put 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()+(r+%20)(1 t) plat, t) = K e-HT-1'N OVT-Y OVT-t + + A_10x6+ (=kip*)(1) = 8:26_ (F o & where & 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 & dp(81) (&pt) rdt + Op dzi (10 points) 2. For European put 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()+(r+%20)(1 t) plat, t) = K e-HT-1'N OVT-Y OVT-t + + A_10x6+ (=kip*)(1) = 8:26_ (F o & where & 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 & dp(81) (&pt) rdt + Op dzi (10 points)