Given the following information: S-50, r-0.06, -0.02, - 0.40, T 3 months 0.25 yr for all of the following problems. 1 a) Calculate the Black-Scholes price and delta for an at-the-money put and an at-the-money call option (both European obviously) b) What is the delta hedged long call portfolio? How much does it cost?Calculate the stock price(s) at 3 months so that the portfolio breaks even. c) What is the delta hedged long put portfolio? How much does it cost?Calculate the stock price(s) at 3 months so that the portfolio breaks even d) For the prices you computed in b) and c) what are the corresponding continuously compounded returns? How do these compare to o" sqrt(T)? Given the following information: S-50, r-0.06, -0.02, - 0.40, T 3 months 0.25 yr for all of the following problems. 1 a) Calculate the Black-Scholes price and delta for an at-the-money put and an at-the-money call option (both European obviously) b) What is the delta hedged long call portfolio? How much does it cost?Calculate the stock price(s) at 3 months so that the portfolio breaks even. c) What is the delta hedged long put portfolio? How much does it cost?Calculate the stock price(s) at 3 months so that the portfolio breaks even d) For the prices you computed in b) and c) what are the corresponding continuously compounded returns? How do these compare to o" sqrt(T)