Consider an option with being a non-negative parameter and the option pays ((S(T)) K)+ at maturity date T. Let C(S(0), , r) be the risk neutral price of the option (with interest rate r and volatility ) when the initial price is S(0). Obviously, C1(S(0), , r) = C(S(0), , r) is the price of an ordinary call option. Show that, C(S(0), , r) = e(1)(r+2/2)TC((S(0)), , r), where r = (r 2/2) + 22/2.