S 50 d1 X 50 d2 r 10.00% k 0 N(d1) N(-d1) T 0.5

N(d2) N(-d2)

sigma 26%

Call price

Put price

N'(d1)

Call Greeks

Put Greeks

Delta Delta

Gamma Gamma

Vega Vega

Theta Theta

Rho Rho

Calculate the price of the Call and Put option example provided and solve for the Greek values. Graph the sensitivity of the Call and Put option to changes in the Stock Price, i.e. Delta.