3. Buffelhead's stock price is $220 and could halve or double in each six-month period (equivalent to a standard deviation of 98%). A one-year call option on Buffelhead has an exercise price of $165. The interest rate is 21% a year. What is the value of the Buffelhead call option? a. b. Now calculate the option delta for the second six months if (1) the stock price rises to $440 and (2) the stock price falls to $110. c. How does the call option delta vary with the level of the stock price? d. Suppose that in month 6, the Buffelhead stock price is $110. How, at that point, could you replicate an investment in the stock by a combination of call options and risk-free lending? Show that your strategy does indeed produce the same returns as those from an investment in the stock