The current price of a non-dividend paying stock is 50 in 6, Finance Basics

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The current price of a non-dividend paying stock is 50 in 6

Question: The current price of a non-dividend paying stock is 50. In 6 months, it will be either 60 or 42. The risk free interest rate is 12% per year with continuous compounding. Consider a 6-month European call on the stock with strike 48. Construct a replicating portfolio for the call and compute the price of the call. If you sell 300 of such calls, how would you delta hedge?

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Finance Basics: The current price of a non-dividend paying stock is 50 in 6

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