A stock is priced at $48 per share. The volatility is 36% per year and the interest rate is 7% per year. Consider the following information on one-year options with a strike price of $45. Price Delta Gamma Theta Vega Rho Call Put 9.88 3.84 0.71 -0.29 0.0198 0.0198 -0.0130 -0.0047 0.1643 0.1643 0.2420 -0.1775 The theta is measured on a per day basis. The Greeks that measure the change in option price per change in interest rate or volatility are expressed in values per 1 percentage point change. e) Assume that the beta of the stock is 1.30 and the market excess return is 5% per year. The risk- free rate is at 1.5% per annum. What is the expected rate of return for investing 50 units of this call option? Explain your answers and state your assumptions. (5 marks) A stock is priced at $48 per share. The volatility is 36% per year and the interest rate is 7% per year. Consider the following information on one-year options with a strike price of $45. Price Delta Gamma Theta Vega Rho Call Put 9.88 3.84 0.71 -0.29 0.0198 0.0198 -0.0130 -0.0047 0.1643 0.1643 0.2420 -0.1775 The theta is measured on a per day basis. The Greeks that measure the change in option price per change in interest rate or volatility are expressed in values per 1 percentage point change. e) Assume that the beta of the stock is 1.30 and the market excess return is 5% per year. The risk- free rate is at 1.5% per annum. What is the expected rate of return for investing 50 units of this call option? Explain your answers and state your assumptions