Question 5 20 pts Given the following Current stock price $30 Stock price standard deviation -40% Annual risk-free rate - 5% a. b. The stock does not pay dividends. Use the Black-Scholes option pricing formula to calculate the value of a European call option with 9 months to expiry and an exercise (strike) price of $25 What is the option delta for a European call option with 9 months to expiry and an exercise erike price of $25? What is the option delta for a European put option with 9 months to expiry and an exercise (strike) price of $25? What is the option gamma for a European call option with 9 months to expiry and an exercise (strike) price of $25? What is the option gamma for a European put option with 9 months to expiry and an exercise (strike) price of $25? C d e. Edit View Insert Format Tools Table 12pt Paragraph B IU A 2. Tv MacBook Air