9. Calls and puts with a 3-month maturity are available on a stock (current price of stock is $60 ), with an exercise price of \$62. You calculate the N(d1) from the Black-Scholes model for these options and come up with 0.51. Assume that the stock price suddenly moves to $61. By about how much do you expect the price of the put option to change, after the stock price has moved to $61 ? a) 0.51 c) 0.49 e) $1.00 b) 0.51 d) 0.49 f) $0.00 10. You buy an at-the-money call option with 3-months to maturity for $3.50. The Black-Scholes Greek "THETA" has a value of 7.00 when you buy the option. One week passes, and the stock price and expected volatility are the same as they were when you bought the option. What is your new estimate of the value of your call option after the one week has passed? a) About $3.64 d) About $3.36 b) About $3.48 e) About $3.50 c) About $3.52