(Answered) The stock price three months before expiration of an option

Finance

The stock price three months before expiration of an option is $50. The stock does not pay dividend. The exercise price is $45, the continuously compounded annual risk-free is 6%, the volatility is 20% per annum, d1 is 1.2536 and d2 is 1.1536.

A) Calculate the price of the option if it is a European call.

B) What is the delta of the call option? Based on the delta, how many shares must a trader buy for every 1000 call sold to maintain a risk-free position?

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