Assume the following values when none is specified: So = 100 0 = 20% T =1 K = 100 r = 5%Exercise 3 - A structurer going beyond his duties You are a structurer in a derivatives desk. The client is asking you to give them a price for the following payoff: g(ST ) = 1ST>K K being a predetermined strike documented in the termsheet. 1. You only have access to a vanilla desk. In other words, your traders only know the prices of calls and puts. How are you going to go about this? 2. Give your client a price for K = 90. 3. Your traders are clueless and have no idea how to protect their PL. What are the instructions you are going to give them to hedge this transaction