Problem:
Suppose that OmegaCorp stock is priced at $65, and has an annual volatility of 45%. You are considering the purchase of a 4-month call option with a strike price of $67.50, and the risk-free rate of interest is 5%.
Requirement:
Question: What is the total dollar cost to create a delta hedge position against a 200-share short call position?
Note: Please provide equation and explain comprehensively and give step by step solution.