Suppose a stock price is $40, a call option has a strike price of $40 and the calls market price is $3. A dealer sells one call option contract (for 100 option-shares). The original Delta is .45. Assume the dealer immediately sets up a Delta Hedge, using shares of stock. There is NO rebalancing in this problem. We examine what if the stock price changes, and there is no re-hedging. a) How many shares should the dealer buy or sell (say which) to begin? NOTE - for (b) and (c), there is NO rebalancing the dealer stays hedged as in (a). b) What is the Delta-Expected change in the value of the dealers option position, stock, and overall value (stock and option positions) , if the stock price immediately RISES by $ 1 to $41.