Question: Either a call taken on an underlying value = 500; Strike price = 520; maturity = 90 days; the 3-month risk-free interest rate is 9.075%

Either a call taken on an underlying value = 500; Strike price = 520; maturity = 90 days; the 3-month risk-free interest rate is 9.075% (=r); volatility of the weekly underlying = 5.547% (weekly volatility, knowing that there are 52 weeks in the year; Please note: in the basic formula, the values are annual!)

Question 1: Determine the value of the call

Question 2: Consider a portfolio made up of 50 of these calls. Each is written about 1000 actions. Determine how many shares the seller must purchase in order to ensure a delta neutral position.

Question 3: Assuming that the price of these shares instantly decreases by 10, how does its coverage decrease?

Question 4: Same question as (3), knowing that this decrease is recorded in 7 days.

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