The price of a non-dividend-paying stock is $15, the strike price s $13, the riskfree rate is 5% per annum, the implied volatility is 39.6% per annum, and the maturity is 3 -months. In this case: S0=15,X=13,r=0.05=0.396 and T=0.25 Assume: d1=0.8840,N(d1)=0.8117 and the BSOP estimated call price C0p= 2.50 You observed that the current market price: C0=2.95 For a delta neutral strategy, how many call options would you buy or sell now? Formula: Delta Hedging: 1/N(d1) Question 17 8 pts [Continuing from the above exact problem] Assume you carried out a delta hedging strategy: (buy or sell call) + (buy or sell underlying stock) What would be your cash flow right now? [Hint: After the transaction,:(if you need to borrow or have deficit, use -) or (for investing or surplus, use +)