Question 4 (17 marks]. The price of a share follows the geometric Brownian motion with parameters u = 0.2 and 0 = 0.18. Presently, the share's price is 38. Consider a call option having one year until its expiration time and having a strike price of 40. The continuously compounded interest rate is 5%. (a) What is the risk-neutral price C of this call option? (b) Suppose now that you are the seller of this option. At time t = 0 you get C from the buyer of the option, where C is the risk-neutral price of the option. You then have to design a hedging strategy which would allow you to meet your financial obligation in one year's time. Your portfolio should consist of two investments: you are allowed to buy the underlying shares and to deposit money in the bank. (i) The price of the share evolves according to a geometric Brownian motion. State the formulae you will need to compute the number of shares in the portfolio and the capital deposited in the bank at any time t, o