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You are given: (1) A stock's price is 60. (2) r=0.08r=0.08. (3) =0.02=0.02. (4) =0.5=0.5. A market-maker delta hedges a portfolio including an option on

You are given:

(1) A stock's price is 60.

(2) r=0.08r=0.08.

(3) =0.02=0.02.

(4) =0.5=0.5.

A market-maker delta hedges a portfolio including an option on the stock.

Determine the two stock prices on the next day for which the market-maker would break even.

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