Investment Mathematics

Multiple Greek hedging 26.22. You write a 6-month European put option on a stock with strike price 40, and delta-hedge it by selling c 6-month European call options on the same stock with strike price 40. You are given (i) The price of the stock follows the Black-Scholes framework. (ii) The price of the stock is 40. (iii) The volatility of the stock is 0.4. (iv) The stock pays continuous dividends at a rate of 0.03. (v) The continuously compounded risk-free interest rate is 0.08. Determine c