1. Consider a Black-Scholes framework, where a market-maker sells a l- year European gap call options on an underlying, non-dividend paying stock S. Each gap call option is written on a share of S. She delta- hedges the position with shares. Furthermore, she knows that the initial stock price So = 200, and the stock's volatility a = 1, and the risk-free interest rater -0, and cach gap call option has a strike price of 100, and each gap call option has a payment trigger of 200. Compute: the initial value of the gap call (25 pts), and the initial number of shares in the delta-hedge of the gap call 25 pts). 1. Consider a Black-Scholes framework, where a market-maker sells a l- year European gap call options on an underlying, non-dividend paying stock S. Each gap call option is written on a share of S. She delta- hedges the position with shares. Furthermore, she knows that the initial stock price So = 200, and the stock's volatility a = 1, and the risk-free interest rater -0, and cach gap call option has a strike price of 100, and each gap call option has a payment trigger of 200. Compute: the initial value of the gap call (25 pts), and the initial number of shares in the delta-hedge of the gap call 25 pts)