6.What is the value of a call option if the underlying stock price is $78, the strike price is $80, the underlying stock volatility is 42 percent, and the risk-free rate is 5.5 percent? Assume the option has 110 days to expiration.

7.You are managing a pension fund with a value of $480 million and a beta of 0.90. You are concerned about a market decline and wish to hedge the portfolio. You have decided to use SPX calls. How many contracts do you need if the delta of the call option is 0.64 and the S&P Index is currently at 1250?