2. Assume the stock price follows a geometric Brownian motion, where current price So=50, expected return u=0.02 and volatility o=0.80. The risk-free interest rate r=0.05 p.a. a. Using the Black-Scholes formula, what is the current value c, of an European call option written on the stock with a strike of K=50 and a maturity of 3 months? (2 marks) b. Suppose that an investor purchases a call option, what is the amount of loss (in percentage) that the investor is 99% certain that will not be exceeded in 1 day? (2 marks) C. Suppose that an investor purchased a call option, what position in the underlying stock would make the overall portfolio delta neutral? What is the instantaneous) expected return of the delta-neutral portfolio in the next short time-period (t,t+At)? (2 marks)