2. [2 points) Suppose Clayton just sold some call options which expire in 1 year. The strike price on the calls was $60. The current underlying share price is $52 per share. It is expected that if the stock does will over the next year, the price could climb to $75 per share; however, if the firm is adversely affected due to changing market conditions, the share price could drop to $40 per share. The risk-free rate is 12%. (a) What is the appropriate hedge ratio for Clayton such that he can create a riskless portfolio? (b) What position should Clayton take in the hedge asset? (c) What is the value of the call option today