Reconsider the determination of the hedge ratio in the two-state model, where we showed that one-third share

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Reconsider the determination of the hedge ratio in the two-state model, where we showed that one-third share of stock would hedge one option. What would be the hedge ratio for the following exercise prices: 120, 110, 100, and 90? What do you conclude about the hedge ratio as the option becomes progressively more in the money?

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Investments

ISBN: 9780073530703

9th Edition

Authors: Zvi Bodie, Alex Kane, Alan J. Marcus

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