The stock price of Heavy Metal $(HM)$ changes only once a month: either it goes up by $23\%$ or it falls by $17\mathrm{.}7\%.$ Its price now is $$46.$ The

interest rate is $0\mathrm{.}5\%$ per month.

a$.$ What is the value of a one$-$month call option with an exercise price of $$46?$

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 $$45?$

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.

Req A and $B$

a$.$ What is the value of a one$-$month call option with an exercise price of $$46?($Do not round intermediate calculations. Round

your answer to $2$ decimal places.$)$

b$.$ What is the option delta? $($Do not round intermediate calculations. Round your answer to $3$ decimal places.$)$

a$.$ Value of call

b$.$ Delta