Question: a. Describe how to set up the delta hedge for a long call option position based on the computations in Problem 20.3. b. If the

a. Describe how to set up the delta hedge for a long call option position based on the computations in Problem 20.3.
b. If the stock price changes to $60 over the next trading day, what is the delta hedging error?
Assume the Black–Scholes–Merton model accurately describes movements in the call’s value.

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