Consider the Black-Scholes model, with stock price given by St = e25 +, the savings account given by At = et, and task of pricing the claim with payoff X = I(S2 > S1), at time t = 2, ie. it pays $1 if S2 > S, and nothing otherwise (a digital option). (a) Give the EMM in this model and the equation for Be under the EMM. (b) Find the price of the claim Co at time t = 0 by using the EMM. You can use the standard Normal cumulative distribution function & in your answer first and then give its numerical value