Assume q = 0

Question 3. Consider a six-month European call option on a stock index. The current value of the index is 1,200. the strike price is 1,250, the risk-free rate is 5%. The index volatility is 20%. Calculate: a] the value of the option 1)) the delta of the option c] the gamma of the option d) the theta of the option e] the vega of the option f) the rho of the option