# Question

Consider a one-year European call option on a stock when the stock price is $30, the strike price is $30, the risk-free rate is 5%, and the volatility is 25% per annum. Use the DerivaGem software to calculate the price, delta, gamma, vega, theta, and rho of the option. Verify that delta is correct by changing the stock price to $30.1 and recomputing the option price. Verify that gamma is correct by recomputing the delta for the situation where the stock price is $30.1. Carry out similar calculations to verify that vega, theta, and rho are correct.

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