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A USD based financial institution sells 1000 7 month European call options on the JPY (JPY Call = USD Put) suppose the spot exchange rate

A USD based financial institution sells 1000 7 month European call options on the JPY (JPY Call = USD Put) suppose the spot exchange rate is 0.80 USD cents per Japanese yen, the strike price is 0 .81 cents per yen, the risk-free rate in the US 5% per annum and in Japan 2% per annum, exchange rate volatility 15% per annum. Calculate delta, gamma, vega and theta from this option. Interpret each of the numbers.

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