(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 find the volatility of the derivative.