1. The first partial derivative of the call with respect to volatility is known as:

Delta

Gamma

Vega

Rho

Theta

2. The first partial derivative of the call with respect to the stock price is known as:

Rho

Theta

Delta

Vega

Gamma

3. S=105; X=100; r_c=.02; T=60 days; standard deviation of daily returns = .012; Assume 365 calendar days in a year and 255 trading days in a year. What is d1 in Black-Scholes? (round to 4 decimal places)

0.7092

1.5835

0.6220

0.6067

10.7604

4.. If d1=.15, What is N(d1)? (round to4decimal places)

5. S₀=105; X=100; r=.02; T=60 days; standard deviation of daily returns = .012; Assume 365 calendar days in a year and 255 trading days in a year. Assume N(d1) =0.76 and N(d2) = 0.74(irrespective of your calculations for d1 and d2), what is the price of a call option according to Black-Scholes? (round to2decimal places)