$16.$ The price of a non$-$dividend$-$paying stock is $$15,$ the strike price s $$13,$ the risk$-$free rate is $5\%$ per annum, the implied volatility is $39\mathrm{.}6\%$ per annum, and the maturity is $3-$months.

In this case: S$0=15,$ X $=13,$ r $=0\mathrm{.}05\backslash$sigma $=0\mathrm{.}396$ and T $=0\mathrm{.}25$

$16-17.$ Assume: d$1=0\mathrm{.}8840,$ N$($d$1)=0\mathrm{.}8117$ and the BSOP estimated call price C$0$p$=2\mathrm{.}50$

You observed that the current market price: C$0=2\mathrm{.}95$

For a delta neutral strategy, how many call options would you buy or sell now?

Formula: Delta Hedging: $1/$ N$($d$1)$

Assume you carried out a delta hedging strategy: $($buy or sell call$)+($buy or sell underlying stock$)$

What would be your cash flow right now?

$[$Hint: After the transaction,:$($if you need to borrow or have deficit, use $-)$ or $($for investing or surplus, use $+)$