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Question 3 32 pts Call and put options on an asset are available with an exercise price of $30. The options expire in 75 days and the volatility is 0.40. The continuously compounded risk free rate is 3.5 percent. There are no cash flows associated with the underlying asset. Assume the asset value is $28. A. Use the Black-Scholes-Merton Model to obtain the values on the call and put, as well as the call delta, put delta, call gamma and put gamma. B. Given the call and put prices that you computed in Part A, as well as the call and put deltas, calculate the approximate price of the call using delta approximation. C. Instead of using the delta approximation, calculate the approximate call and put prices using a delta-plus-gamma approximation. D. Use the Black-Scholes-Merton Model to estimate the prices of the call and put options when the asset value is $33. Compare your call and put values using the Black-Scholes Merton Model when the asset value is $33 with your answers obtained during the delta and delta-plus-gamma approximations