14.2 Example a bank has sold for $300,000 a European call option on 100,000 shares of a nondividend paying stock S=49,K=50,r=5%,o=20%, T=20 Weeks, u=13% The black-Scholes value of the option is $240,000 How does the bank hedge its risk to lock in a $60,000 profit? Options, Futures, and other Derivatives, 5th edition 2002 by John C. HullOptions, Futures, and Other Derivatives, 5th edition © 2002 by John C. Hull 14.2 Example • A bank has sold for $300,000 a European call option on 100,000 shares of a nondividend paying stock • S0 = 49, K = 50, r = 5%, s = 20%, T = 20 weeks, m = 13% • The Black-Scholes value of the option is $240,000 • How does the bank hedge its risk to lock in a $60,000 profit?