1) Calculate the delta of an at-the-money six-month European call option on a non-dividend- paying stock when the risk-free interest rate is 6% per annum and the stock price volatility is 15% per annum. What would be the delta if the option was a put? Interpret the signs of the deltas. 2) A financial institution has just bought 7-month European call options on the Japanese yen. Suppose that the spot exchange rate is 0.80 cent per yen, the exercise price is 0.81 cent per yen, the risk-free interest rate in the United States is 8% per annum, the risk-free interest rate in Japan is 5% per annum, and the volatility of the yen is 15% per annum. Calculate the delta, gamma, vega, theta and rho of the financial institution's position.