Consider a Black-Scholes model with r=6%,=0.32,S(0)=33 and =0. Suppose you sold ten (10) 90-day Puts with strike K=30 at price P(0) determined by the BlackScholes formula). You wish to hedge your risks and in particular are worried about the stock moving up and down. 1. Using the underlying stock as well as 60 -day Calls with strike K=35 (priced at C(0) again using the B-S formula), construct a Delta-Theta neutral portfolio. 2. Suppose that you also invest in bonds such that the initial value of your portfolio is exactly zero. Thus your overall portfolio is x shares of stock, -10 contracts of 90 -day Puts, y contracts of the 60-day Calls and z zero-coupon bonds. You should write out explicitly the numeric values of x,y,z above. V(0)=xS(0)10C1(0)+yC2(0)+z Produce a table listing the value of your portfolio tomorrow V(3651) in the cases that the stock goes to S(3651)=32,33,34