2. (20 points) A. Stock in ACAD corp has been found to have a volatility of 80%. The risk- free rate is 2% (annual, continuously compounded), and the current stock price is 20. The stock does not pay dividends. Your portfolio consists of 50 strike-15 European call option contracts, each expiring in six months, and N otherwise identical European put contracts. If the A (Delta) of your portfolio is 0, what is N? Note: a negative value for N is acceptable and has the usual interpretation. 2. (20 points) A. Stock in ACAD corp has been found to have a volatility of 80%. The risk- free rate is 2% (annual, continuously compounded), and the current stock price is 20. The stock does not pay dividends. Your portfolio consists of 50 strike-15 European call option contracts, each expiring in six months, and N otherwise identical European put contracts. If the A (Delta) of your portfolio is 0, what is N? Note: a negative value for N is acceptable and has the usual interpretation