2 pts Suppose a $200 million bank has an average asset duration of 10 years and an average liability duration of 1 year. The bank's total debt ratio k (L/A) is 0.9. The bank plans to hedge its interest rate risk with an option. The call option has a delta of 0.33 and the put option has a delta -0.67. The bond underlying the option contracts has a face value of $100.000, a market value of $112,000 and a duration of 8 years. Calculate the number of contracts of the options needed for the hedge. Assume that there is no basis risk on the hedge. O purchase approximately 6,155 call option contracts O sell approximately 5,411 call option contracts O purchase approximately 3,032 put option contracts o sell approximately 2.000 put option contracts o sell approximately 1.786 call option contracts Activate 2 pts Suppose a $200 million bank has an average asset duration of 10 years and an average liability duration of 1 year. The bank's total debt ratio k (L/A) is 0.9. The bank plans to hedge its interest rate risk with an option. The call option has a delta of 0.33 and the put option has a delta -0.67. The bond underlying the option contracts has a face value of $100.000, a market value of $112,000 and a duration of 8 years. Calculate the number of contracts of the options needed for the hedge. Assume that there is no basis risk on the hedge. O purchase approximately 6,155 call option contracts O sell approximately 5,411 call option contracts O purchase approximately 3,032 put option contracts o sell approximately 2.000 put option contracts o sell approximately 1.786 call option contracts Activate