Question: Consider delta and gamma hedging a short call option, using the underlying and a put with the same strike and maturity as the call. Calculate

Consider delta and gamma hedging a short call option, using the underlying and a put with the same strike and maturity as the call. Calculate the position in the underlying and the put that you should take. Will you ever need to adjust this hedge? Relate your result to put-call parity.

Asset price	S0	50
Exercise price	K	40
Interest rate	r	0.05
Volatility	sigma	0.3
Dividend yield	q	0.02
Time to maturity	T	2
Expected return	mu	0.12
Number of simulations	M	1000
Number of time periods	N	20
Percentage	pct	0.05

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