25. This question generalizes Question 24. Consider a power option with payoff If we ta...

25. This question generalizes Question 24. Consider a power option with payoff

If we take = 2 and M= K², this is (12). Consider a Black-Scholes setting with volatility and dividend yield q. Show that the closed-form solution for this option's price is the vanilla call price with

(a) A strike of M.

(b) A volatility of

(c) A dividend yield of