Question 3 The current share price of Lembut Berhad is RM40. The exercise price of the option is RM45 in 6 months' time. The additional information is the risk free rate of interest is 10% per annum, meanwhile the standard deviation of return on the share is 60%. Calculate the value of the call option (6 Marks) Calculate the value of a put option. (3 Marks) Lembut Berhad owns 500,000 shares. Devise a delta hedge to protect against changes in the share price. (3 Marks) d) If Lembut Berhad have already 200,000 written call options, devise a delta hedge to protect against changes in the share price. (2 Marks) (Total: 14 Marks Question 3 The current share price of Lembut Berhad is RM40. The exercise price of the option is RM45 in 6 months' time. The additional information is the risk free rate of interest is 10% per annum, meanwhile the standard deviation of return on the share is 60%. Calculate the value of the call option (6 Marks) Calculate the value of a put option. (3 Marks) Lembut Berhad owns 500,000 shares. Devise a delta hedge to protect against changes in the share price. (3 Marks) d) If Lembut Berhad have already 200,000 written call options, devise a delta hedge to protect against changes in the share price. (2 Marks) (Total: 14 Marks