5

Given the following

Current stock price = $30

Stock price standard deviation =40%

Annual risk free-rate =5%

The stock does not pay dividends.

1. Use the Black-Scholes option pricing formula to calculate the value of a European call option with 9 months to expiry and an exercise (strike price of $25.
2. What is the option delta for a European Call option with 9 months to expiry and an exercise (strike) price of $25?
3. What is the option delta for a European put option with 9 months to expiry and an exercise (strike) price of $25?
4. What is the option gamma for a European call option with 9 months to expiry and an exercise (strike) price of $25?
5. What is the option gamma for a European put option with 9 months to expiry and an exercise (strike) price of $25?