Assume that the assumptions of BSM model hold. Consider European call option with
strike price K=30, T=.25 written on the stock with S0=30, ?=0.10, ???? = 0.25. The risk-free rate r is
1.0%. Find the expected return (under real probabilities) of the call option between today and time to maturity. Repeat this exercise for S0=20, 25, 30, and 35
What do you conclude about the expected return of the option versus its moneyness?