Question #2 (10 marks) A put option to sell one share of stock has an exercise price of 100 and a time to maturity of one year. The risk free rate is 6% and the dividend yield on the stock is 5%. The volatility of the stock is 20% per annum. A financial institution has a long position in this option to sell 10000 share of stocks. (a) Assume that N(01) - 0.6, what is the delta of the financial institution's position? (2 marks) (Hint: e -47[N(d)-1), where q is the dividend yield.) (b) Explain how this delta can be interpreted. (2 marks) (c) How can the position be made delta neutral? (2 marks) (d) Suppose that one week later the stock price has increased and the delta of the put option changes to -0.34. How can delta neutrality be preserved? (4 marks)