Question: Suppose S = $100, r = 4%, ???? = 23%, K = $105, and T = 1/4. The value of a European call option is

Suppose S = $100, r = 4%, ???? = 23%, K = $105, and T = 1/4. The value of a European call option is C = 2.96155 and Delta for the option is 0.3898.Set-up the delta hedging portfolio on 10,000 put options written on this underlying asset.If the call delta changes to 0.3398 on day 2, how would the delta-hedged put portfolio adjust.

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