Use DerivaGem the Equity$\_$FX$\_$Indx$\_$Fut$\_$Opts$\_$Calc tabOption Type: Black$-$Scholes EuropeanFor equityStock Price $=50$Strike Price $=55$Volatility $=25\%$Risk$-$free rate $=4\%$Life $=6$ months $(0\mathrm{.}5$ years$)$Price of put?Price of call?Prove put$-$call parity$$Create a matrix for price of the call under these scenarios:$*$ Volatility $15\%,25\%,35\%*$ Risk free rate $2\%,4\%,6\%$How can we describe sensitivity of the call price to volatility and the risk$-$free rate$*$ Is sensitivity effected of one by the level of the other?$*$ Explain how RFR impacts the call priceUse DerivaGem $-$ the

Equity$\_$FX$\_$Indx$\_$Fut$\_$Opts$\_$Calc tab

Option Type: Black$-$Scholes $-$ European

For equity

Stock Price $=50$

Strike Price $=55$

Volatility $=25\%$

Risk$-$free rate $=4\%$

Life $=6$ months $(0\mathrm{.}5$ years$)$

Price of put?

Price of call?

Prove put$-$call parity

Create a matrix for price of the call under these scenarios:

Volatility $15\%,25\%,35\%$

Risk free rate $2\%,4\%,6\%$

How can we describe sensitivity of the call price to volatility and the risk$-$free rate

Is sensitivity effected of one by the level of the other?

Explain how RFR impacts the call price