The interest rate is r=0.02. A non-dividend paying stock S follows geometric Brownian motion, starting at S0=38. The GBM's volatility and physical drift are not given. Consider a call and a put option on S, both with strike K=40 and expiry T=0.25 If there is insufficient information to determine any answer, then state that. (a) The time-0 delta of the put is one of the two numbers 0.495. Which one is the correct delta of the put? Also find the time-0 delta of the call. (b) The time-0 gamma of the put is one of the two numbers 0.035. Which one is the correct gamma of the put? Also find the time-0 gamma of the call. (c) The time-0 theta of the call is one of the two numbers 9.71. Which one is the correct theta of the call? Also find the time-0 theta of the put. (d) The risk-neutral probability that the call expires in-the-money is 0.387. Find the risk-neutral probability that the put expires in-the-money. (e) Find the time-0 price of the call. All assumptions from previous parts of this problem are in effect here