Consider a binomial model of option pricing. The current price of a non-dividend paying stock is S=$10. The risk-free rate is 0% (zero percent) per annum, the price in the next period will be either Su or Sd where u=1.1 and d=1/u. i. Determine the delta if you are short a call option with strike K=$10. ii. Show that this delta makes the portfolio of delta shares and the short option riskless. iii. What is the price of the call option? iv. What is the delta if you are long a call option? Show that you get the same option price as in part iii. v. What is the risk-neutral probability of an up-move? vi. Calculate the price of a 6-month forward written on the stock and show that the contract has zero expected payoff under the risk-neutral probability