the question is shown below in pictures

Assume that all the assumptions which lead to the Black-Scholes-Merton PDE hold. (a) (6 points) Suppose that it is now t = 0 and T > 0 is some later time. Carefully show that the probability in a risk-neutral world satisfies the equation, P(ST > K) = N012). Here, ST is a stock's price at time '1", N06) is the cumulative distribution of a standard normal random ln('%0)+(raz2)TI variable, and d2 = (\"/17 (b) (6 points) Consider a European call with expiration date '1", underlying stock price S(t), volatility 0', risk-free rate 1', and strike price K. If C(SO, 0) is its price at time t = 0, then compute lim C(SO, 0). 00