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Please show work, thanks. 12. Suppose S-40,?-0.3, r-0.08, and -0. Suppose you sell a 45-strike call with 91 days to expiration. (a) What is delta?

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Please show work, thanks.

12. Suppose S-40,?-0.3, r-0.08, and -0. Suppose you sell a 45-strike call with 91 days to expiration. (a) What is delta? b) If the option is on 100 shares, what investment is required for a delta-hedged portfolio? What is your overnight profit if the stock tomorrow is 39? What if the stock price is 40.50

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