Consider the following information about a European Call Option on a risk-free stock and answer the questions that follow:

Stock price = $60

Exercise price = $40

Time to expiry = 9 months

Risk-free rate = 2% p.a.

Standard deviation of stock price = 0%

1. Determine the price of the call option. Show detailed computations. Answers that do not accompany supporting calculations are not eligible for grading. (Hint: Since division by zero is undefined, use a very small quantity like 0.0000001 for standard deviation) (5 marks)
2. What is the delta of this call option and what does it mean? If the stock price were to change to $61, what would be the new call price? (5 marks)