Use the following information to answer questions $25-30$

Consider the following binomial tree. The numbers in squares are stock

prices. The numbers in circles will be option prices $($# numbers are the exercise

numbers to answer your calculation$).$

Today, the stock is at $100$ and can go up and down over the next week, and then

again up and down from there. We are pricing a call struck at $93.$

Use the computed q to sweep back through the tree to fill the call values in

circles. For #$28-$ #$30$ use the option terms, then for nodes #$28-$ #$30$ use the

recursive formula: $C=q{C}_u+(1-q)C_d.$ Ignore interest.

#$25$ Call Value $=$

#$26$ Call Value $=$

#$27$ Call Value $=$

#$28$ Call Value $=$

#$29$ Call Value $=$

#$30$ Call Value $=$

#$31$ Compute and interpret the delta. If you sell a call option on one thousand shares, the delta hedge will require you to buy $\_\_\_\_\_\_\_\_\_$ shares of stock $($how many?$).$