0.7. Delta hedging. Consider a portfolio V(1) which is short 100 calls with maturity T=60/365 and K=100. The price of the underlying asset is S0=100, the risk-free rate is r=0.05, and the volatility is =0.1. (a) If V0(1)=0, determine how much money is to be put in risk-free assets to construct V(1)