Company ABC currently has no listed option. The closing price of company ABC on January 16, 2017 is $0.73.

Following is the past 30 days historical stock trading info of company ABC.

Date	Open	High	Low	Close	Volume	Adj. Close
1/16/2017	0.71	0.73	0.71	0.73	424000	0.73
1/13/2017	0.73	0.74	0.71	0.71	22038000	0.71
1/12/2017	0.72	0.73	0.7	0.72	804000	0.72
1/11/2017	0.71	0.73	0.7	0.71	834000	0.71
1/10/2017	0.71	0.71	0.7	0.71	448000	0.71
1/9/2017	0.72	0.72	0.71	0.71	1458400	0.71
1/6/2017	0.72	0.73	0.7	0.72	41852000	0.72
1/5/2017	0.72	0.73	0.72	0.73	90000	0.73
1/4/2017	0.71	0.72	0.71	0.72	136000	0.72
1/3/2017	0.73	0.73	0.71	0.72	378000	0.72
1/2/2017	0.73	0.73	0.73	0.73	0	0.73
12/30/2016	0.72	0.74	0.72	0.73	336000	0.73
12/29/2016	0.73	0.73	0.71	0.71	5704000	0.71
12/28/2016	0.75	0.75	0.72	0.72	296000	0.72
12/27/2016	0.76	0.76	0.76	0.76	0	0.76
12/26/2016	0.76	0.76	0.76	0.76	0	0.76
12/23/2016	0.75	0.76	0.72	0.76	944100	0.76
12/22/2016	0.73	0.75	0.71	0.75	422100	0.75
12/21/2016	0.72	0.73	0.72	0.73	414000	0.73
12/20/2016	0.7	0.73	0.7	0.73	1152000	0.73
12/19/2016	0.72	0.75	0.7	0.71	3012000	0.71
12/16/2016	0.71	0.74	0.71	0.74	578000	0.74
12/15/2016	0.72	0.72	0.7	0.71	226000	0.71
12/14/2016	0.73	0.74	0.72	0.72	200000	0.72
12/13/2016	0.73	0.73	0.72	0.73	112000	0.73
12/12/2016	0.76	0.76	0.73	0.73	692000	0.73
12/9/2016	0.75	0.77	0.72	0.77	2662000	0.77
12/8/2016	0.77	0.78	0.73	0.76	3386000	0.76
12/7/2016	0.67	0.78	0.65	0.78	21372000	0.78
12/6/2016	0.68	0.7	0.68	0.68	690000	0.68

(a) Use Black-Scholes formula to compute the price of an European call option, strike price $0.70 expiring on February 24, 2017.

(b) Use above historical data to calculate the volatility for the Black-Scholes formula, and fit a Geometric Brownian Motion model.

(c) Explain how to obtain the estimate and comment on whether the Geometric Brownian Motion model is an appropriate model for the given data.

(d) illustrate how to delta hedge the option for the first three trading days beginning from January 16, 2017. Describe the trading strategy, compute the delta and the hedging profit and loss for each of the three trading days.

Assume the risk free return is 1%, 0 dividen and the option is written on January 17, 2017, i.e. time to maturity is 39 days.