Consider a straddle option with maturity T = 1 year and the payoff f(ST) = (ST K)+ + (K ST)+, where the strike K = So = 100. Straddle option is in money when the market volatility is high. (a) Consider the Black Scholes model where the stock price follows dSt = rStdt + o Stdw@, under the risk neutral measure Q, where r 0.01 and o 0.2. Compute the Black Scholes delta hedge as a function of time and stock price. (Consider the payoff of the straddle option as a sum of a call option and a put option. The delta hedge for the straddle option is the sum of the delta hedge for a call and a put.) Consider a straddle option with maturity T = 1 year and the payoff f(ST) = (ST K)+ + (K ST)+, where the strike K = So = 100. Straddle option is in money when the market volatility is high. (a) Consider the Black Scholes model where the stock price follows dSt = rStdt + o Stdw@, under the risk neutral measure Q, where r 0.01 and o 0.2. Compute the Black Scholes delta hedge as a function of time and stock price. (Consider the payoff of the straddle option as a sum of a call option and a put option. The delta hedge for the straddle option is the sum of the delta hedge for a call and a put.)