Please show all work. The following information is given for the European call option on Schlumberger (SLB): Current Stock Price = $86.89, Strike price = $90, r_C = 1.0% (continuously compounded interest rate), T = 19 days, Sigma = 30.35% (annualized implied volatility).

(a) At time 0, if a market maker, Robert sells 1,000 units of call option on SLB, how many shares (an integer) of SLB does Robert buy for (delta) hedging his short call position?

(b) Based on the Black-Scholes model, what is the current price of this European call option?

(c) Call option elasticity = (Current Stock Price / C)*(delta). Calculate the call option elasticity based on the above information.

(d) If an investor, Don, buys 10,000 shares of SLB at $86.89/share, how many units of call options (an integer) on SLB does Don sell for (delta) hedging his long stock position?

(e) In part (d), calculate the initial hedging cost which is defined as (the number of calls)*(the price of a call option).