Buffelhead's stock price is $168 and could halve or double in each six-month period. A one-year call option on Buffelhead has an exercise price of $139. The interest rate is 21% a year.

1. a. What is the value of the Buffelhead call? (Round your answer to 2 decimal places.)

2. b-1. Now calculate the option delta for the second six months if the stock price rises to $336.

3. b-2. Now calculate the option delta for the second six months if the stock price falls to $84. (Round your answer to 2 decimal places.)

4. c-1. What is the option delta when a call is certain to be exercised?

5. c-2. What is the option delta when a call is certain not to be exercised?

6. d. Suppose that in month 6, the Buffelhead stock price is $84. To replicate an investment in the stock by a combination of call options and risk-free lending, how many calls would you purchase and how much would you lend? For this problem, assume you can purchase partial calls.