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5. (a) The stock price is 60 the volatility of the stock is 25%. Assuming that the time to expiration is 3 months and the

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5. (a) The stock price is 60 the volatility of the stock is 25%. Assuming that the time to expiration is 3 months and the interest rate is 2% per annum calculate the price P of the European call option with strike 60 . (b) Calculate ,,, Vega using formulas for these parameters. Calculate the same parameters approximately using the options calculator. (c) Check that following relationship holds +rx+212x2=rP

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