(1 point) Suppose S = $ 45, r = 2 %, delta(the annualized dividend rate) is 12 %, sigma(the annualized standard deviation of the continously compounded stock returns) is 15 %. Suppose you sell a $ 50 - strike call with 60 days to expiration. a) What is delta, the partial derivative of the call price with respect to the price of the underlying asset b) If the option is on 100 shares, what investment is required for a delta-hedged portfolio c) What is your overnight profit if the stock tomorrow is $ 46.05 [Note 1: Use software to compute the values of the normal CDF, not the table.] [Note 2: Assume that there are 365 days in one year.] [Note 3: The Black-Scholes formula for the asset with dividends can be found in the text or in the internet. The information about Greeks can also be found here.] (1 point) Suppose S = $ 45, r = 2 %, delta(the annualized dividend rate) is 12 %, sigma(the annualized standard deviation of the continously compounded stock returns) is 15 %. Suppose you sell a $ 50 - strike call with 60 days to expiration. a) What is delta, the partial derivative of the call price with respect to the price of the underlying asset b) If the option is on 100 shares, what investment is required for a delta-hedged portfolio c) What is your overnight profit if the stock tomorrow is $ 46.05 [Note 1: Use software to compute the values of the normal CDF, not the table.] [Note 2: Assume that there are 365 days in one year.] [Note 3: The Black-Scholes formula for the asset with dividends can be found in the text or in the internet. The information about Greeks can also be found here.]