QUESTION 1 Suppose the stock price is $100, volatility is 30%, risk-free rate is 5% and the stock pays no dividend. If we want to delta hedge a long position in a call option that has a strike price of $100 and has one year to maturity, which of the following is, theoretically, correct based on BSM model? (assuming the one option covers one share of stock) We need to short one share of stock We need to short 0.624 share of stock We need to long one share of stock We need to long 0.624 share of stock