Question 7. A. Calculate the delta, theta, and vega of the call option in 84.05 (ANSWER FROM Q6). Express theta per month and verga per 1% increase in volatility. [6 marks] B. After 1 + 5 months the price has gone up by $10 and the volatility by 10%. Using delta, theta, and vega that you have calculated, what is the total change in value of the option? [4 marks]