The share price of Heavy Metal $($HM$)$ changes only once a month:

Either it goes up by $20\%$ or it falls by $18\mathrm{.}1\%.$ Its price now is $$46\mathrm{.}2.$ The interest rate is $0\mathrm{.}7\%$ per month.

a$.$ What is the value of a one$-$month call option with an exercise price of $$46\mathrm{.}2?$

b$.$ What is the option delta?

c$.$ The payoffs of the call option can be replicated by buying shares of stock and borrowing. What amount should be

invested in stock and what amount must be borrowed?

d$.$ What is the value of a two$-$month call option with an exercise price of $$47?$

e$.$ What is the option delta of the two$-$month call over the first one$-$month period?

Complete this question by entering your answers in the tabs below.

a$.$ What is the value of a one$-$month call option with an exercise price of $$46\mathrm{.}2?$

Note: Do not round intermediate calculations. Round your answer to $2$ decimal places.

b$.$ What is the option delta?

Note: Do not round intermediate calculations. Round your answer to $3$ decimal places.