2. (Delta Hedge Portfolio)

Write a VBA program to show the delta-hedged portfolio adjustments and cash flows for a long call from the dealers’ perspective with the following data:

Total number of long calls N 5 100 Number of adjustments M 5 15 S(0) 5 100; K 5 100; T 5 1; r 5 8%;

σ 5 30%; and realized volatility 5 50%.