3. Problem What is meant by the delta of a stock option? The delta of a stock option measures the sensitivity of the option price to the price of the stock when small changes are considered. Specifically, it is the ratio of the change in the price of the stock option to the change in the price of the underlying stock. a) What is meant by the "delta" of a stock option? b) Please express delta as a derivative. c) What are the units of option delta For the following questions, assume stock price $10, strike price = $10, volatility 20%, riskfree rate=4%, and term = 1.0 year. d) What is the delta of call option? e) What is the delta of a put option with same terms as above? f) If an investor has sold (written) 1,000 call options, what trade achieves a delta-neutral hedge? g) What are the limitations of this delta-neutral hedge? h) Does this delta-neutral hedge have negative or positive gamma? Is the position long or short volatility? i) What is the gamma of the underlying stock