The current price of Philip Glass Corp. is $52 and no dividends are expected during the next four

months. The current price of a 90-day T-bill (your cash proxy) is $9857.35 (face of $10,000). The

weekly price history of the stock over the previous year had a realized volatility (per week) of 4.1603%.

(a) What is the Black-Scholes value of a 90-day European call on this Philip Glass Corp. stock with

a $50 strike price?

(b) What would be the replicating strategy for this asset according to Black-Scholes?

(c) How would this replicating portfolio change with changes in values in the stock price of Philip

Glass Corp (say if it goes up to $54, or down to $50)?