5. Consider the following information: Time to expiration = 6 months Standard deviation = 20% per year Exercise price = $42 Stock price = $40 Interest rate = 4% per year a. Use the Black-Scholes-Merton formula to find the value of a European call option on the stock. [Note: Use the Cumulative Normal Distribution Table with interpolation] (10 marks) b. Find the value of a European put option with the same exercise price and expiration as the call option in (a) (5 marks) c. What is the delta of the put option in (b)? (5 marks) d. Dave considers the put option in (b). If the price of the underlying stock decreases by $0.5, then what is the estimate of the change in put option price