A JPMorgan trader has just sold a T=1-year maturity call, for Co = 10, to L&G pension fund. The call has a strike K = 100 and a delta of +0.4. The initial stock price is So = 100 and rises next week to S = 105 when the delta is then +0.5. The stock price then rises monotonically to St = 130, at maturity of the option. The risk-free rate of interest is 5% p.a. The trader's debt at T has risen to D1 = $110.5. a). Explain how JPM would delta-hedge the written option's position, today and after 1-week. b). Explain what happens in the delta-hedge at maturity of the option. A JPMorgan trader has just sold a T=1-year maturity call, for Co = 10, to L&G pension fund. The call has a strike K = 100 and a delta of +0.4. The initial stock price is So = 100 and rises next week to S = 105 when the delta is then +0.5. The stock price then rises monotonically to St = 130, at maturity of the option. The risk-free rate of interest is 5% p.a. The trader's debt at T has risen to D1 = $110.5. a). Explain how JPM would delta-hedge the written option's position, today and after 1-week. b). Explain what happens in the delta-hedge at maturity of the option