(Solution) - A Describe how you will set up the delta hedge for -(2025 Original AI-Free Solution)

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a. Describe how you will set up the delta-hedge for a short put option position based on computations in Problem 20.3.
b. If the stock price changes to $60 over the next trading day, what is the delta hedging error?
Assume the Black?Scholes?Merton model accurately describes movements in the call?s value.