Consider a Black-Scholes log-normal model for the stock S, with initial price S = 100, volatility = 30% and drift = 10%. Suppose the risk-free rate is r = 2%

(a) What is the risk neutral probability that ST (90, 110) for T = 1? (3 pts)

(b) What is the price of a 2-year call on S with strike equal to the spot? (3 pts)

(c) How much of S would be required to hedge the option against the movement in S? (4 pts)