1. Consider a stock with an initial price of $69, an expected return or risk-free rate of 5% per year, and a volatility of 35% per year is held for 6 months. European call and put options, both with strike prices of $70, have been purchased on this stock. a. Use Black-Scholes to solve for and graph the call delta, then interpret its meaning. b. Use Black-Scholes to solve for and graph the put delta, then interpret its meaning. c. Use the put-call parity relationship to test the Black-Scholes pricing model predictions