Question Assume the Black-Scholes framework. You purchase a European call option on 100 shares of stock expiring in 90 days. The option price is 278.04. The current price of the stock and the strike price of the option are both $40 per share. Delta of the call is 5824 at the time of purchase. Which of the following is/are true of a Delta hedging strategy? 1. You can delta hedge by selling 58.24 shares of the stock short. II. There is no cash generated or used when this hedge is set up. III. Delta-hedging guarantees zero loss if there is a decrease in the stock price later. Possible Answers A I only Bll only C III only DI and II only E I, II, and III are all true