Consider a European call option with expiry date T = 0.25 and strike = 75 under the Black-Scholes model with parameters So 100, = price X = 0.1, o = = 0.3, r = 0.03. Compute the Value at Risk of an investment in the call option at 95% confidence level Consider a European call option with expiry date T = 0.25 and strike = 75 under the Black-Scholes model with parameters So 100, = price X = 0.1, o = = 0.3, r = 0.03. Compute the Value at Risk of an investment in the call option at 95% confidence level