Consider a 9-month dollar-denominated European put option on British pounds. You are given: (i) The current exchange rate is 1.43 US dollars per pound. (ii) The strike price of the put is 1.56 US dollars per pound (iii) The volatility of the exchange rate is 03. (iv) The US dollar continuously compounded risk-free interest rate is 8%. The British pound continuously compounded risk-free interest rate is 9%. (a). Using the Black-Scholes formula to calculate the price of the put option. (10 pts.) (b) Calculate the Gamma (I) of this put option. (3 pts.) (c) Use Put-Call Parity to calculate the price of the call option. (5 pts.)