Repeat parts a–d of the previous problem for a six-month European put option with exercise price...

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%.

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.