Suppose the stock price is $30, strike price is $30, volatility is 45%, time to maturity is 2 years, and the annualized, continuously compounded risk-free interest rate is 2%. Manually calculate the value of a call option, based on the Black-Scholes-Merton option valuation model. ANSWER: Call Value =_____ Manually calculate the value of a put option. ANSWER: Put Value = ____ Manually calculate the call and put delta. ANSWER: Call Delta = _____ Put Delta = _____ Describe in detail the interpretation of the call and put delta. Now suppose the stock price is $60, strike price is $60, volatility is 45%, time to maturity is 2 years, and the annualized, continuously compounded risk-free interest rate is 2%. Repeat problems 1) - 3). Explain your value and delta results by contrasting these results with those found in problems 1) - 3). Call Value = _____ Put Value = ______ Call Delta = _____ Put Delta =_____ Explanation. Now suppose the stock price is $35, strike price is $30, volatility is 45%, time to maturity is 2 years, and the annualized, continuously compounded risk-free interest rate is 2%. Repeat problems 1) - 3). Explain your value and delta results by contrasting these results with those found in problems 1) - 3). Call Value = _____ Put Value = _____ Call Delta = _____ Put Delta =______ Explanation