Question 3. Consider a six-month European call option on a stock index. The current value of the index is 1,200, the strike price is 1,250, the risk-free rate is 5%. The index volatility is 20%. Calculate: a) the value of the option b) the delta of the option c) the gamma of the option d) the theta of the option e) the vega of the option f) the rho of the option Hint: Refer to Table E.1 and Example E.1 of your presrcibed textbook, and assume q = 0.

Note: An important assumption which makes the mathematics of VaR easier is as follows. If changes in the value of the portfolio on successive days are identically, independently and normally dis- tributed with mean zero, it holds that: T-day VaR = 1-day VaR T ,where T indicates the time horizon. Also, the daily volatilities is dened as: year = day 252, where '252' indicates the number of trading days in a year's period. For relatively short time horizons, is often assumed to be zero, and VaR for a particular condence interval is then proportional to .