Q1 Consider the situation where the Olympus stock price 3 months from the expiration of an option is $56 dollars, the exercise price of the option is $54 dollars, the risk-free rate is 3% per annum, and the volatility is 36% per annum.

Consider now that Olympus stock volatility parameter is increasing from =0.36 to a new level =0.49. All the other parameters remain the same.

1. Calculate the new value of the Call using the numbers from Q1 of your explain your answers analytically.

2. Calculate the new value of the Put using the numbers from Q1 explain your answer analytically.

3. What is the Lambda/Vega of the Call and the Lambda/Vega of the Put respectively? Explain your numbers analytically.

no excel.

*No excel