QUESTION 2 Consider two European CALL options, one on stock XYZ and one on stock ABC, with identical expiration date. Assume that both stocks are currently sold at the same price. Assume that the exercise price for the XYZ call is 100, the volatility of stock XYZ is 10% According to the Black and Scholes formula, in which of the following scenarios is price of the ABC call unambiguously higher than the price of the XYZ call? The exercise price for the ABC call is 120, the volatility of stock ABC is 20% b. The exercise price for the ABC call is 120, the volatility of stock ABC is 5% c. The exercise price for the ABC call is 80, the volatility of stock ABC is 20% d The exercise price for the ABC call is so, the volatility of stock ABC is 5%