If you are short one call option what is the future value, Financial Management

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If you are short one call option what is the future value

IBM stock currently sells for 92 dollars per share. Over 3 months the price will either go up by 9.5 percent or down by −6.0 percent. The risk-free rate of interest is 3.5 percent continuously compounded. A call option with strike price 89 and maturity of 3 months has a delta of 0.82328. If you are short one call option, what is the future value in 3 months of a delta-neutral portfolio? A.82.937 B.65.279 C. 78.393 D. 71.197 E. 73.091.

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Financial Management: If you are short one call option what is the future value

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