= The Greeks. This problem considers a calendar spread. Suppose that the standard assumptions of the BSM model hold for a stock with So $100, u = 10% and o = 30%. Suppose the risk free rate is r = = 2%, fixed (compounded continuously). All rates are annualized rates. Consider the calendar spread where you go long the ATM call expiring in Ti = 3 months and short the ATM call expiring in T2 = 1 month. (d) (10 points) What position in the underlying would you use to A hedge the position? = The Greeks. This problem considers a calendar spread. Suppose that the standard assumptions of the BSM model hold for a stock with So $100, u = 10% and o = 30%. Suppose the risk free rate is r = = 2%, fixed (compounded continuously). All rates are annualized rates. Consider the calendar spread where you go long the ATM call expiring in Ti = 3 months and short the ATM call expiring in T2 = 1 month. (d) (10 points) What position in the underlying would you use to A hedge the position