(a) The gamma of a delta-neutral portfolio is 500. What is the impact to the value of portfolio if the price of underlying asset increases by $3? (b) Explain why we need dynamic hedging for delta. (C) Suppose you need to hedge a short call option on 10,000 shares and plan to perform a delta hedge that is rebalanced monthly. The current stock price is 50, the strike price is 50, the risk-free rate is 5%, time to maturity is 1 year, sigma is 30%. Based on the BSM model, we can find the current delta, which is 0.6243. Fill in the information (i.e., shares purchased, cumulative shares purchased, cost (9), cumulative cost ($), and interest (S) for month 0, 1, 2 and 12 of the following table. Cumulative shares Cumulative Month Stock price Delta Shares purchased purchased Cost ($) cost (S) Interest (S) 0 50 0.6243 1 53 0.6936 2. 51 0.6411 .... . 11 48 0.3520 0 3,520 0 212,000 883 12 43 0.0000