1. A stock is priced at $30. The volatility of the stock is 25% per year, and the riskless interest rate is 7%. A 3 month European call option with a strike price of 25 trades at its Black Scholes price of $5.51. (a) Use put-call parity to price the European put. (b) The delta value of the call is 0.952. Compute the share equivalents and the leverage. (c) Compute the delta value of the put. Compute the share equivalent and leverage for the put option. (d) A trader sells 100 of the European call options. How many stocks should the trader hold so that the position is locally immunized? (e) The gamma of the call option is 0.0268. Interpret this value. In par- ticular, assume that immediately after setting up the delta hedge in 1d), the stock price increased by $2. Without recomputing the new Black-Scholes option price, estimate the new value of the "immunized" portfolio. 1. A stock is priced at $30. The volatility of the stock is 25% per year, and the riskless interest rate is 7%. A 3 month European call option with a strike price of 25 trades at its Black Scholes price of $5.51. (a) Use put-call parity to price the European put. (b) The delta value of the call is 0.952. Compute the share equivalents and the leverage. (c) Compute the delta value of the put. Compute the share equivalent and leverage for the put option. (d) A trader sells 100 of the European call options. How many stocks should the trader hold so that the position is locally immunized? (e) The gamma of the call option is 0.0268. Interpret this value. In par- ticular, assume that immediately after setting up the delta hedge in 1d), the stock price increased by $2. Without recomputing the new Black-Scholes option price, estimate the new value of the "immunized" portfolio