3. Consider a European call option on a nondividend-paying stock, where the risk free rate r=0.02, that has exercise date T>0. Let St be the price of one share of the stock at time t, where 0tT. Also, let V(S,t) be the price of one unit of the call option at time t, if the stock price is S at that time. The evolution of the (stock,option) pair follows VtdVt=V(St,t)dt+V(St,t)dWtStdSt=0.05dt+dWt. Here, >0 and we also know that the initial cost of this call option is V(S0,0)=5, and the initial cost 0S0 of shares to delta-hedge one unit of the call option is 10 . Calculate V(S0,0). (40 points) 3. Consider a European call option on a nondividend-paying stock, where the risk free rate r=0.02, that has exercise date T>0. Let St be the price of one share of the stock at time t, where 0tT. Also, let V(S,t) be the price of one unit of the call option at time t, if the stock price is S at that time. The evolution of the (stock,option) pair follows VtdVt=V(St,t)dt+V(St,t)dWtStdSt=0.05dt+dWt. Here, >0 and we also know that the initial cost of this call option is V(S0,0)=5, and the initial cost 0S0 of shares to delta-hedge one unit of the call option is 10 . Calculate V(S0,0). (40 points)