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: X1 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 = 0) a)o=1 (Please keep two decimal places, for example : 0.12) b)N(1) (Please keep two decimal places, for example: 0.12) cau (Hint: Try to use solution of (b) as two decimal numbers and final answer will be an integer 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: X1 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 = 0) a)o=1 (Please keep two decimal places, for example : 0.12) b)N(1) (Please keep two decimal places, for example: 0.12) cau (Hint: Try to use solution of (b) as two decimal numbers and final answer will be an integer