(i) If the gamma of a European call is 0.06, what is the gamma of the corresponding European put at the same strike and maturity?

(ii) According to the Black-Scholes model the delta of a European currency call option is given by 1 N d( ). When S K= , 1 d can be defined as:

1 d. -t r_1_1 +EVT-t. 2 Explain how the delta of the currency call changes as volatility increases, if (05 marks) do olo? 2 od . 1 d. -t r_1_1 +EVT-t. 2 Explain how the delta of the currency call changes as volatility increases, if (05 marks) do olo? 2 od