(A) If the Gamma of a European call is 0.06, what is the Gamma of the corresponding European put at the same strike and maturity?

(B) According to the Black-Scholes model the delta of a European call option written on a stock index with dividend yield is given by 1 N d( ). When S K= , 1 d can be defined as

-t d, - ov-1(7-9+ )(7-1)=66 ha e )VT-1. _9 + o VT o o 2 Explain how the delta of this call option changes as volatility increases, if (04 marks) do + -t d, - ov-1(7-9+ )(7-1)=66 ha e )VT-1. _9 + o VT o o 2 Explain how the delta of this call option changes as volatility increases, if (04 marks) do +