The current share price of Lembu Berhad is RM 40. The exercise price of the option is RM 45 in 6 months' time. The additional information is the risk free rate of interest is 10% per annum, meanwhile the standard deviation of return on the share is 60%.

a) Calculate the value of the call option.

b) Calculate the value of a put option.

c) Lembu Berhad owns 500 000 shares. Devise a delta hedge to protect against changes in the share price.

d) If Lembu Berhad have already 200 000 written call options, devise a delta hedge to protect against changes in the share price.