Part II (not related to part I) (20 MARKS) Assume that the assumptions of BSM model hold. Consider European call option with strike price K=50, T=.25 written on the stock with So=50, =0.10, = 0.25. The risk-free rate r is 1.5%. Find the expected return (under real probabilities) of the call option between today and time to maturity. Repeat this exercise for So=40, 45, 55, and 60. What do you conclude about the expected return of the option versus its moneyness?