Using the spreadsheet provided, simulate a portfolio with delta hedging. Assume you have sold $100$ European call options $($each of which is worth $100$ shares, for a total of $10,000$ shares exposure$)$ short on the stock of Lumberjack Farms. Information about option is given below. Annualized Volitlity $=35\%$

Option Expiriation $4/30/2023$

Risk Free Rate $=2\%$

Annual Borrowing Cost $=6\%$

Strike Price $=50$

Number of Shares $=10,000$

No transaction costs and $365$ days in a year $($for interest and purposes$).$

Input Data

Exercise Price of Option $($EX$)$

Compounded Risk$-$Free Interest Rate $($rf$)$

Standard Deviation $($annualized s$)$

Date

Formulas