A certain stock is currently trading for Rs 95 per share. The annual continuously compounded risk-free interest

rate is 6%, and the stock pays dividends with an annual continuously compounded yield of 3%. The stock volatility

relevant for the Black-Scholes formula is 32%. (a) Find the delta of a call option on the stock with strike price

Rs 101 and time to expiration of 3 years. (b) Find the delta of a put option on the stock with strike price Rs 101

and time to expiration of 3 years.