Q3. Consider a call with x=110. Underlying stock follows uniform distribution, and right now is at 100 and MAD=10.

a. what is the option delta and gamma?

b. if you want to long 1 call contract, how do you hedge your delta with underlying shares?

c. what it the delta and gamma of the hedged position above (your hedged position here is long call and short shares).

d. if underlying stock moves up to 104, what is the the total pnl for the hedged portfolio in part b? how much of the total pnl is due to stock and how much is due to option price movement?

e. if underlying stock moves dn to 96, what is the the total pnl for the hedged portfolio in part b? how much of the total pnl is due to stock and how much is due to option price movement?

additional exercise: redo the question with a short put position with strike at 90.