You are pricing options in the Black-Scholes-Merton framework on an underlying with variance 2=0.0676 and current market value S0=15. The options have a maturity of 2 years and the risk free interest per year is 1.55%. a) Price a European Call option with exercise price K=17.50. b) Price an Put option with exercise price K=20. 5 c) Identify time value and intrinsic value of the Put option. d) Why is the time value so low for the option in c)? e) Calculate the Delta and Vega of the Call option of a). You bought the call option of a). One year passes. Throughout this year, the volatility has increased to 39% and the price of the underlying moved to 19.84. f) Calculate the option price of your call option. g) Calculate the Delta and Vega of the Call option of f ). h) Explain the direction of change of Delta and Vega. Interpret the values