= 2. You are in the Republic of Ireland. Price a one year American put option on GBP1.00 with strike EUR 1.06. The EUR/GBP exchange rate's volatility is 25%. Interest rates in the Eurozone are 0.1%, while in Britain, they are 0.7% (both with continuous compounding). The current exchange rate is GBP1 EUR1.11. Use the Black-Scholes-Merton formula to do this pricing. 3. Suppose you had written the GBP option from the previous question. You now need to hedge the option, and in order to do so, have decided to calculate Delta (A), Gamma (T) and Theta (O). (a) Calculate the three quantities using the finite difference technique, using 8 of 0.001. Hint: This may be done quite quickly in excel. (b) Now compare your solutions to the results from the formulae in the textbook