The following information summarizes stock price behavior that is consistent with the Black-Scholes model:

Current stock price(S0)=$115

Risk-free interest rate(rf)=2.5% per year (compounded continuously)

Volatility of return()=50% per year

a) A three-month European call option on the stock has a strike price(K) of $110. Calculate the call option price that is consistent with the Black-Scholes model. b) Determine the value of a three-month European put option on the stock with a strike price (K) of $110. c) You would like to instantaneously hedge your $15,000 investment in this stock. How many three-month at-the-money European call options you would write? How many three-month at-the-money European put options would you purchase?