Use relevant information (S0, K, Rf, T, Sigma) from the above question to construct a delta- hedging table for 100 short call options as in the lecture slides (the class lecture used 100,000 short calls). To do this, execute the following steps. a. Construct two tables for the end of each week for the next 10-weeks. Thus, you are delta- hedging once every week, i.e. for weeks 0, 1, 2, 3, 4, 5, 6, 7, 8, 9, 10 (when option matures); i. Table 1 is when the option matures in-the-money. ii. Table 2 is when the option matures out-of-the-money. b. For both tables, show that the annualized standard deviation or stock returns from the 10 weeks is approximately equal to the annualized standard deviation in 4d, above. c. Clearly show the payoffs, profits, and all relevant cash flows at the end of the term (10 weeks).

d. Compare the price of the call option in Question 3e with the present value of the average price per call option in this question (using 4c). and explain in 2-3 sentences what you find.