Q$6.$ On Friday, OCT $30,2019$ stock ACDC was trading for $S=$$$\frac{25}{?}$ share.

DATA ACDC's annual VOL, $=53\%.$

On Friday, OCT $30,2019$ the annual yields on T$-$bills were given

in the following table$**$:

$**$ All the rates in the table are annual rates with a simple annual compounding.

Based on the above data, calculate:

The annual risk$-$free rate with continuous compounding to be used in the

Black&Scoles&Merton formula.

Calculate the Black$-$Scholes$-$Merton price of the at$-$the money DEC $2019$ call,

using the interpolation given in the Normal distribution tables in CH$\mathrm{.}15.$

Q$7.$ The Greeks of a given call are

Employing this call and the put on the same underlying stock and with the same

$K$ and $T$ as the call, trader JD shorts the following Straddle:

Short $2$ calls and Short $2$ puts.

Calculate the Delta, Gamma and Vega of JD$\text{'}$s position.