The current share price of Lala Berhad is RM6.00. The exercise price of the option is RM5.00 in 1 year's time. The additional information is the risk-free rate of interest is 12% per annum; meanwhile the standard deviation of return on the share is 30%. a) Calculate the value of the call option. (6 Marks) b) Calculate the value of a put option. (2 Marks) c) If Lala Berhad have already 400,000 written call options, devise a delta hedge to protect against changes in the share price. (2 Marks) Use below formula : C = S x N(dl) -E x e -rt x N(d2) d1 =[ In (S/E) + (r+ 0.52 ) x t] / ( x t 2) d2= d1 - ( x t) 2. Put option P = E x e-rt + C-S