The value is worth 50% and the next two parts are worth 25% each. Price the following European call option on a non-dividend paying stock: The strike is 86.00 and The maturity is 0.90 years The market data for this option is: Spot is 80.00, The volatility of the stock is 10.00%. continuously compounded risk-free interest rates are 3.00%. Price this option on a two-step binomial tree. What are the value and delta of the option? Round your answers to two decimal places. Value = Delta on Option = You sell 10,000 units of this option and delta hedge your position. How many shares do you buy or sell. Enter a positive number if you buy and a negative if you sell. Round your answer to the nearest share. Number of Shares =