Problem 8. Consider a si-month European call option which allows to sell a security for a price of 30. Suppose that the security's price follows geometric Broumian motion: S(I) = S(0)*(!). Suppose that the current price of the security is 25, the continuous compounding interest rate is 10%, and the volatility of the security is .30. (a). What is the risk-neutral valuat-on of the option at the initial time? (6). Suppose that after three months the stock price goes up to 28. What is the risk-neutral valuation of the same call option at this time! Problem 8. Consider a si-month European call option which allows to sell a security for a price of 30. Suppose that the security's price follows geometric Broumian motion: S(I) = S(0)*(!). Suppose that the current price of the security is 25, the continuous compounding interest rate is 10%, and the volatility of the security is .30. (a). What is the risk-neutral valuat-on of the option at the initial time? (6). Suppose that after three months the stock price goes up to 28. What is the risk-neutral valuation of the same call option at this time