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.