Use this call option price from the week of September 23, 2022, for AMZN:

Current stock price: $85.1

Maturity date: Dec 30, 2022

Strike price: $86

Last sale 1.23

2. Collect 12-20 weeks of (end of the week) prices for the stock underlying your option, starting in the week when you got the option price, or project it.

3. Below is the weekly T-Bill rates beginning on the same week.

Series Description	4-week Treasury bill secondary market rate discount basis
Unit:	Percent:_Per_Year
9/23/22	2.54
9/30/22	2.62
10/7/22	2.82
10/14/22	3.06
10/21/22	3.25
10/28/22	3.48
11/4/22	3.58
11/11/22	3.55
11/18/22	3.69
11/25/22	3.9
12/2/22	3.88
12/9/22	3.66
12/16/22	3.74

4. Using this data, perform Delta-hedging

5. Compare the total cost of the hedge with the call option price.

Notes:

To get the volatility, do an implied volatility calculation using your initial option price.

Each week you calculate a new delta [N(d1)] using the current stock price, interest rate, and time to maturity.

The shares purchased (or sold) are the number needed to get your network shares to be delta times the number of options sold

The cost of shares purchased is the net for that week. The cumulative cost is gotten by adding to the previous cumulative cost the current cost of shares purchased and the previous interest cost.

The interest cost is calculated by applying the weekly interest rate to the cumulative cost for that week since we assume that all costs are borrowed. In a week when you sell shares, you pay back some of the borrowed money.

In the end, if your options are out of the money, the cumulative cost should be approximately equal to the original option price. If your options are in the money, the cumulative cost should be approximately equal to the original option price plus the final price of the underlying shares.