Please show all work. The following information is given for the European call option on United Parcel Service (UPS). Current Stock Price = $108.90, Strike Price = $110, r_C=3.0% (continuously compounded interest rate), T = 31 days, the implied volatility can be found using the call option market price = $3.61 (when Strike Price = $108).

(a) Find the implied volatility (%) from the European call option market price.

(b) At time 0, if a market maker, Robert sells 5,000 units of call option with Strike Price = $110, how many shares (an integer) of UPS does Robert buy for (delta) hedging his short call position?

(c) Option elasticity = (S/C)*(delta). Calculate the call option elasticity for the option with Strike Price = $110.

(d) If an investor, Don, buys 5,000 shares of UPS at $108.90/share, how many units of call option with Strike Price = $110 (an integer) does Don sell for (delta) hedging his long stock position?

(e) Based on the Black-Scholes model, what is the current price of European put option with Strike Price = $110?