Repeat parts a – d of the previous problem for a six-month European put option with exercise price $40. Again, assume a current stock price of $35, a risk-free rate of 5%, and an annual volatility of 40%.

Data from Previous Problem:

a. Consider a six-month European call option with exercise price $40. Assume a current stock price of $35, a risk-free rate of 5%, and an annual volatility of 40%. Determine the price of the call option.

b. Use a data table to show how a change in volatility changes the value of the option. Give an intuitive explanation for your results.

c. Use a data table to show how a change in today’s stock price changes the option’s value. Give an intuitive explanation for your results.

d. Use a data table to show how a change in the option’s duration changes the option’s value. Give an intuitive explanation for your results.