A stock currently trades at $41, and the volatility of its return is 9%. The continuously compounded rate of interest is 2%. Consider a call option struck at $46, with 85 days to expiration (recall that there are 251 trading days in one year). a) What is the price of the option (rounded to the nearest cent)? Answer =$ b) What is the option's delta (rounded to four decimal places)? Answer = c) Use your answer from (b) to estimate the value of the option tomorrow, assuming the stock is trading at $41.55 at that time? Answer =$ d) What is the exact value of the option tomorrow, assuming the stock is trading at $41.55 at that time? Answer =$ [Note: Use software to compute the values of the normal CDF, not the table.] - Recall that the probability density function (pdf) for the standard normal distribution is: (x)=21ex2/2 - The corresponding cumulative distribution function (cdf) is: (x)=x(z)dz