Consider a non-dividend paying stock with S; following a geometric Brownian motion. Suppose that the risk free interest rate is 2% compounded continuously. A table of daily values of X = In(S) are given as follows: Xi Value X 0.06 X 0.04 X3 0.03 X -0.03 a. Find the annual volatility (Please round your answer to 2nd decimal place) b. Consider an at the money European call option for the same stock that expires in 2 months. Find N(d). (Please use 2nd decimal place for calculation of d and N(d)) c. By considering the calculated annual volatility o in part a. As a market-maker, you are entering into a portfolio by buying call option and selling stocks II = 1000C - 14000S. Find a such that market-maker hedges this portfolio. (Hint: use black scholes formula and = 0) Consider a non-dividend paying stock with S; following a geometric Brownian motion. Suppose that the risk free interest rate is 2% compounded continuously. A table of daily values of X = In(S) are given as follows: Xi Value X 0.06 X 0.04 X3 0.03 X -0.03 a. Find the annual volatility (Please round your answer to 2nd decimal place) b. Consider an at the money European call option for the same stock that expires in 2 months. Find N(d). (Please use 2nd decimal place for calculation of d and N(d)) c. By considering the calculated annual volatility o in part a. As a market-maker, you are entering into a portfolio by buying call option and selling stocks II = 1000C - 14000S. Find a such that market-maker hedges this portfolio. (Hint: use black scholes formula and = 0)