You purchased a call on 100 shares of ABC. Use an option pricing formula that you built. Delta hedge the option thru the following changes in price. In other words complete the table below. I gave you the first two lines.

$ lost or gained on hedging

BOUGHT A CALL ON 100 SHARES +/-in Delta # of Total Hedge Delta shares held 50 0.517 -52.1 -52.1 51 0.611 -9.4 -61.5 53 55 Spot Price of option per share $ 1.735 $ 2.302 Gain/Loss on option $ - $57 Total Gain/Loss $ - $5 $- $ (52) 50 48 45 50 Total: $ (52) $ 57 $5 Forward 50 Interest Rate: 1% Divident Yield: O 50 Strike: Volatility 30 Time to Expiration 30 Days BOUGHT A CALL ON 100 SHARES +/-in Delta # of Total Hedge Delta shares held 50 0.517 -52.1 -52.1 51 0.611 -9.4 -61.5 53 55 Spot Price of option per share $ 1.735 $ 2.302 Gain/Loss on option $ - $57 Total Gain/Loss $ - $5 $- $ (52) 50 48 45 50 Total: $ (52) $ 57 $5 Forward 50 Interest Rate: 1% Divident Yield: O 50 Strike: Volatility 30 Time to Expiration 30 Days