The current price of a non-dividend-paying stock is $49.99 and the annual standard deviation of the rate of return on the stock is 32%. A European call option on the stock has a strike price of $50 and expires in 0.9 years.

The risk-free rate is 3% (continuously compounded).

1) What is the price of the option?

2) What is the delta of the option?

3) What is the gamma of the option?

4) What is the vega of the option, considering a one percentage point change in volatility?

5) What is the theta of the option, considering one less calendar day to expiration?

6) What is the rho of the option, considering a one percentage point change in the risk-free rate?