HELLO I JUST NEED HELP WITH 9 & 10 BECAUSE I FIGURED OUT 6-8.

9 & 10 ARE CONSIDERED ONE QUESTION. THANK YOU!

Questions 6-10 Black-Scholes-Merton Model Now suppose we have a more tailored model for stock A of the previous question. This time we assume stock A (log) return follows normal distribution with 45% annualized standard deviation (45% volatility). Similar to previous parts, assume the stock A is last time sold at 43.26$, and that the risk-free rate is 1%. 6) Using Black-Scholes-Merton model, calculate the price of a European call option with one-year time to maturity and strike price of 35$. 7) What would be the price of a European put option with same maturity and strike price? 8) Calculate the sensitivity of the call option price to the stock price, at current stock price level. 9) Repeat exercise in question (8) for stock price being 10$. Is the sensitivity higher or lower? Why? 10) Calculate the sensitivity of the call option price to stock volatility. Questions 6-10 Black-Scholes-Merton Model Now suppose we have a more tailored model for stock A of the previous question. This time we assume stock A (log) return follows normal distribution with 45% annualized standard deviation (45% volatility). Similar to previous parts, assume the stock A is last time sold at 43.26$, and that the risk-free rate is 1%. 6) Using Black-Scholes-Merton model, calculate the price of a European call option with one-year time to maturity and strike price of 35$. 7) What would be the price of a European put option with same maturity and strike price? 8) Calculate the sensitivity of the call option price to the stock price, at current stock price level. 9) Repeat exercise in question (8) for stock price being 10$. Is the sensitivity higher or lower? Why? 10) Calculate the sensitivity of the call option price to stock volatility