Consider a European call option with six months to maturity written on a stock. The current stock price is $100 and the strike price of the option is $95. The stock price follows a binomial process. Specifically, over each of the next two three-month periods (t = 0.25) it is expected to go up by 10 percent (u = 1.1) or down by 10 percent (d = 0.9). The risk-free rate is 4 percent per annum with continuous compounding. (a) What is the price of the option? (b) Calculate the delta of the call option today and in three months (c) Explain how you would hedge a short position in this call option using the underlying stock. Show all the details of the hedging strategy at every period.