Consider a non dividend paying stock and its price S, follows a geometric Brownian motion and risk free interest rate is 2% which is compounded contin- uously. A table of daily values of X; = In is given as follows: Xi 0.06 X2 0.04 X3 0.03 X4 -0.03 (Hint: Firstly, calculate daily volatility on) a. Find the annual volatility o. (Please keep two decimal places) b. Consider an at the money European call option that expires in two months. Find N(di).(Please keep two decimal places) c. By considering calculated annual volatility o in part a, as a market-maker, you are entering into a portfolio by buying call options and selling stocks II = 10000C - 14000S. Find a such that market-maker hedges the portfo- lio. (Round your answer into an integer number, Hint: use black-scholes formula and 5 = 0) Consider a non dividend paying stock and its price S, follows a geometric Brownian motion and risk free interest rate is 2% which is compounded contin- uously. A table of daily values of X; = In is given as follows: Xi 0.06 X2 0.04 X3 0.03 X4 -0.03 (Hint: Firstly, calculate daily volatility on) a. Find the annual volatility o. (Please keep two decimal places) b. Consider an at the money European call option that expires in two months. Find N(di).(Please keep two decimal places) c. By considering calculated annual volatility o in part a, as a market-maker, you are entering into a portfolio by buying call options and selling stocks II = 10000C - 14000S. Find a such that market-maker hedges the portfo- lio. (Round your answer into an integer number, Hint: use black-scholes formula and 5 = 0)