A risk averse investor take a short position in European put option for a certain share paying dividend at 3% rate. Option is written for 500 shares. The strike price of this option is 103PLN and the current spot price of underlying is 99PLN. He/she plans to hedge this position using delta strategy. a) Assuming that volatility of prices of underlying is 25%, risk free rate is 2,7% and time to maturity of the option is 12 weeks, indicate what this investor should do to hedge this position. b) Assuming that in the following week the price of underlying instrument will grow by 5%, indicate what correction should be done to keep delta hedged position. c) After the price grow by 5% as in b) is this share in-, out-or at-the-money. A risk averse investor take a short position in European put option for a certain share paying dividend at 3% rate. Option is written for 500 shares. The strike price of this option is 103PLN and the current spot price of underlying is 99PLN. He/she plans to hedge this position using delta strategy. a) Assuming that volatility of prices of underlying is 25%, risk free rate is 2,7% and time to maturity of the option is 12 weeks, indicate what this investor should do to hedge this position. b) Assuming that in the following week the price of underlying instrument will grow by 5%, indicate what correction should be done to keep delta hedged position. c) After the price grow by 5% as in b) is this share in-, out-or at-the-money