For a call option on a non-dividend-paying stock, the stock price is $30, the strike price is $29, the risk-free interest rate is 6% per annum, the volatility is 20% per annum and the time to maturity is three months.

a. Expressed in terms of the Black-Scholes-Merton option pricing formula cumulative normal function, N(x), what is the price of the option?

b. As sigma becomes very large, call option c tends to what value?