8 Consider the following data on a European call option, recorded at two different points in time on the same day (10:00 am and 10:15 am). Suppose you hold a short position in the option and delta-hedge it by a long position in the underlying stock. Which of the following statements is correct?

10:00 am

10:15 am

S

27.8

30.2

X

25

25

R

0.02

0.02

T

0.5

0.5

Sigma

0.17

0.17

a. Black-Scholes price of the option is higher at 10:15 am

b. Delta of the option is higher at 10:15 am

c. You need to buy additional shares of stock at 10:15 am to keep the portfolio delta-neutral

d. All of the above