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need in 30 mnts. i will highly appreciate 5) An...

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Accounting

need in 30 mnts. i will highly appreciate
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5) An investor takes a short position in an European call option on a stock with a strike price K1=8 and a maturity T=1 year. The price of the underlying follows a geometric Brownian motion with S0=8,=20% and a volatility =40% per year. The risk-free interest rate is r=4% per year. a) - Compute the Delta 1 of the call option. How many stocks does the investor need to buy or sell in order to make their short position Delta neutral? - How would the situation change if the investor was in a short position in a put option instead of a call option? b) Determine whether we can make a Delta-neutral short position in a call option ( S0=8,=20%,=40% per year and r=4% per year.) but with maturity T=2 years instead of T=1 year

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