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Currently one share of stock NNN is trading for 30. Six months from today the stock price will either be 34 or 24. The stock pays no dividends and the current annual continuously compounded risk-free rate is 2%. A portfolio consists of 20 shares of the stock, 60 long put options and 30 short call options. The strike price of the options is 32 and the time to expiration is six months. Find the delta of that portfolio. Possible Answers A-54 B -34 C-22 D 22 E 34 Assume the Black-Scholes framework holds. Consider an option on a stock. You are given the following information at time 0: i) The stock price is 50 ii) The option price is 3.00 iii) The option delta is 0.611 iv) The option gamma is 0.020 v) The option theta (measured in days) is-0.133 The stock price changes to X after two days. Using the delta-gamma-theta approximation, you find that the option price changes to 1.90. Determine X Possible Answers A 47.40 B 47.80 48.20 D 48.60 E 49.00