(c) Suppose that the stock price of a company Y is currently USD 250, has a volatility of 25% and the prevailing risk-free rate is 2.5%. An option writer has sold an 6-month call option 3 month ago and has been dynamically hedging it. What is his hedging position in the stock today, if the option just happens to be at-the-money currently?

Solution in python or in excel

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