1. Let the prices of an European call and put options with the same strike price K and the same maturity date T, at current time t, be c and p respectively. The current price of the stock is S. The risk free interest rate is r. Use the put-call parity relationship to derive the relationship between: (a) The delta of an European call and the delta of an European put. (b) The gamma of an European call and the gamma of an European put. What is meant by the gamma of an option position? (2