(a) An investor is considering the purchase of 100 units of a 3-month European Call option on a stock with initial price $20, strike price $25. The volatility is $24 and the stock pays a dividend of 3%. If the risk free interest rate 5%, calculate the price of the block of 100 options.

(b) If the price of an underlying asset X is known to be a Gama random variable with parameters and , determine the key variables in the price process for its derivative product by obtaining E(X) and Var(X). Hence nd the volatility of the derivative.

(c)Find the Delta value of a 3-month European call option on a stock price equal to the current stock price S0. The interest rate is 5% and the volatility is 20%

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