\begin{tabular}{|c|c|c|c|c|} \hline 2 & is market data and a portfolio with th & the following character & istics: & \\ \hline 3 & . & & & \\ \hline 4 & Market Data & & & \\ \hline 5 & Risk-Free Rate (Annualized) & 0.05 & & \\ \hline 6 & & & & \\ \hline 7 & Stormcrown Pension Fun & & & \\ \hline 8 & Initial Portfolio Value & $250,000,000 & & \\ \hline 9 & Dividend Yield & 0.00 & & \\ \hline 10 & Standard Deviation & 0.30 & & \\ \hline 11 & Exercise Price ( 0% return as value floor) & $250,000,000 & a. & \pm \\ \hline 12 & Maturity (Years) & 5.00 & & \\ \hline 13 & & & & \\ \hline 14 & Required: & & & \\ \hline 15 & \begin{tabular}{l} As manager of this pension fund wishes to deplo \\ this pension fund's value, but there are no puts t \\ securities. Using the Black-Scholes option pricing \\ a synthetic position using dynamic hedging. \end{tabular} & \begin{tabular}{l} loy a protective put strat \\ traded which match thi \\ g model and the data a \end{tabular} & \begin{tabular}{l} ategy to protect \\ his portfolio of \\ above, construct \end{tabular} & \\ \hline 16 & \begin{tabular}{l} (Use cells AS to B12 from the given inform \\ answer should be input and displayed as \\ be input and displayed as positive values. \end{tabular} & \begin{tabular}{l} mation to complete t \\ a negative value. All \end{tabular} & \begin{tabular}{l} this question. N \\ II other answers \end{tabular} & \begin{tabular}{l} Negative \\ s should \end{tabular} \\ \hline 18 & & & & \\ \hline 19 & Dynamic Hedging & & & \\ \hline 20 & \begin{tabular}{l} d1 \\ N(d1) \end{tabular} & r & & \\ \hline \begin{tabular}{l} 21 \\ 22 \end{tabular} & \begin{tabular}{l} N(d1) \\ Put Delta \end{tabular} & r & & \\ \hline \end{tabular} The overall value of the portfolio falls on the first day. Using dynamic hedging again, what is the new hedged position