Problem 2 (35 points) Table 1 shows call and put option prices and their Greek letters of a stock that does not pay dividends and has the following characteristics: So = $50.50, K = $50.50, 0 = 50%, T = 3 months, and r = 5.0% 1) If the stock price increases $0.40, approximately, how much will the new call option price be? 2) If the stock price decreases $0.50, approximately, how much will the new put option price be? 3) If the volatility increases 1.5%, approximately, how much will the new put option price be? 4) How much is the estimated price of the call option tomorrow (one day from today)? 5) If the interest rate decreases 0.4%, approximately, by how much the call price will change? Table 1. Put and Call prices and their respective Greek letter values Snapshot Calls Puts Price 5.312 4.685 Delta 0.569 -0.431 Gamma 0.031 0.031 Theta -0.030 -0.024 Vega 0.099 0.099 0.059 -0.066 Rho 1 | 1 0.0 0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8 0.9 1.0 1.1 1.2 1.3 1.4 1.5 1.6 1.7 Normal Distribution This Tables provides N(z) = P(X