24. Consider a Black-Scholes setting with volatility and dividend yield q. Show that a cl...

24. Consider a Black-Scholes setting with volatility and dividend yield q. Show that a closed-form expression for the price of a power option of the form (12) is obtained simply by using the Black-Scholes vanilla call option formula with

(a) A strike of K².

(b) A volatilty of

(c) A dividend yield of 2q-(r + σ²).