13.2 Example A FI has SOLD for $300,000 a European call on 100,000 shares of a non-dividend paying stock So=49X=50 5%=20% u =13% T =20 Weeks The Black-Scholes value of the option is $240,000 How does the fi hedge its risk? Options, Futures, and Other Derivatives, 4th edition@ 2000 by John C. Hull Tang Yincai, C 2003, Shanghai Normal UniversityOptions, Futures, and Other Derivatives, 4th edition © 2000 by John C. Hull Tang Yincai, © 2003, Shanghai Normal University 13.2 Example • A FI has SOLD for $300,000 a European call on 100,000 shares of a non-dividend paying stock: S0 = 49 X = 50 r = 5%  = 20%  = 13% T = 20 weeks • The Black-Scholes value of the option is $240,000 • How does the FI hedge its risk?