For the Black-Scholes calculation, do not use an online option calculator and do a cut and paste of the computations into your exam. Such work will receive a zero. When drawing the option strategies, please use a straight edge for neatness. Consider the following information regarding a call option. Current stock price =$88.50 Exercise Price =$75 Time to expiration =1 year. Expected standard deviation of the underlying stock =15% Continuously compounded risk-free rate of return =4.88% 1.) Compute the value of this option using the Black-Scholes option pricing model we used in class. Please show all your work. 2.) Compute and interpret the Delta for the option. Please show all your work. 3.) Compute and interpret the Theta for the option. Please show all your work. 4.) Compute and interpret the Vega for the option. Please show all your work. For the remainder of the exam, consider the following option prices: Current price of the underlying stock =125.94 For each option strategy derive the maximum profit (s), maximum loss(s) and breakeven stock prices. Graph the position with all max loss, max profits and break-evens labeled. 5.) Construct a protective put using the put with 125 . 6.) Construct a bull call spread using the calls with the 120 and 130 exercise prices. 7.) Construct a bear put spread using the puts with the 120 and 130 exercise prices. 8.) Construct a long straddle using the 125 put and call. 9.) Construct a long strangle using the 120 put and the 130 call. 10.) Construct a butterfly spread