Q3: (10 points)

The President of the Water-Mellon Bank is offering you the Vice President position because he admires your knowledge on the determinants that affect the option prices (e.g., the Greeks of the Option). You are all excited from the offer and you try hard to impress him talking about long and short positions and synthetic securities respectively. The Treasurer of the bank however, does not

believe you and he thinks that you are overdoing it. He claims that you dont know much and he is asking you to use an example of valuation in order to prove your points.

Use the results that you obtain from Question 2 above in order to value the following Greeks , , (with the following values respectively, Stock price=48,

Time horizon=6/12 and Volatility= 0.9) of the Call Options.