Ken is interested in buying a European call option written on Southeastern Airlines, Inc., a non-dividend- paying common stock, with a strike price of $90 and one year until expiration. Currently, the company's stock sells for $93 per share. In one year Ken knows that the company's stock will be trading at either $118 per share or $79 per share. Ken is able to borrow and lend at the risk-free EAR of 3 percent. a. What should the call option sell for today? (Do not round intermediate calculations and round your answer to 2 decimal places, e.g., 32.16.) Call option price $ b. What is the delta of the option? (Do not round intermediate calculations and round your answer to 2 decimal places, e.g., 32.16.) Delta of the option $ c. How much would Ken have to borrow to create a synthetic call? (Do not round intermediate calculations and round your answer to 2 decimal places, e.g., 32.16.) Amount to borrow $ d. How much does the synthetic call option cost? (Do not round intermediate calculations and round your answer to 2 decimal places, e.g., 32.16.) Call option price $ Ken is interested in buying a European call option written on Southeastern Airlines, Inc., a non-dividend- paying common stock, with a strike price of $90 and one year until expiration. Currently, the company's stock sells for $93 per share. In one year Ken knows that the company's stock will be trading at either $118 per share or $79 per share. Ken is able to borrow and lend at the risk-free EAR of 3 percent. a. What should the call option sell for today? (Do not round intermediate calculations and round your answer to 2 decimal places, e.g., 32.16.) Call option price $ b. What is the delta of the option? (Do not round intermediate calculations and round your answer to 2 decimal places, e.g., 32.16.) Delta of the option $ c. How much would Ken have to borrow to create a synthetic call? (Do not round intermediate calculations and round your answer to 2 decimal places, e.g., 32.16.) Amount to borrow $ d. How much does the synthetic call option cost? (Do not round intermediate calculations and round your answer to 2 decimal places, e.g., 32.16.) Call option price $