Consider a European option on a non-dividend-paying stock when the stock price is $30, the exercise price is $29, continuously compounded risk-free interest rate is 5%, volatility is 25% per annum, and time to maturity is 4 months.

a.) Find values of Delta for the two options. Using just delta, what should be the change in price of the call option if price of the underlying stock increases by $0.03? (6 points)

b.) Explain why value of delta for a long call is between 0 and 1. (3 points)

c.) Find values Theta for the two options.(5 points)