For all problems assume $365$ calendar days in a year and $255$ trading days in a year.

Also remember to convert standard deviation of daily returns to annualized returns and use the annualized value as the input for $\backslash$sigma $.$

Time is in number of years so divide the number of days to expiration by $365$

Stock ABC is trading for $$112.$ The stock has a standard deviation on a daily basis of $1\%.$ The

risk free rate on a continuously compounded basis is $1\%.$

a$.$ What is the price of a call that expires in $164$ days and has a strike price of $115?$

b$.$ What is delta of the call option?