The value of a European call option with a strike price $90 and 6 months to...
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The value of a European call option with a strike price $90 and 6 months to expiry, using a one-step binomial model, with the following parameters: S_0=$100, u=1.20, and the risk-free interest rate (continuously compounded) of 6% per annum, is : $30 for up and $0 for down. Using the delta-hedging approach, a portfolio consisting of one short option position must have a ------- number of shares. Select one: a. 0.9107 b. 0.7184 C. 0.8182 Od. 1.0000 Your answer is incorrect. The correct answer is: 0.8182 X The value of a European call option with a strike price $90 and 6 months to expiry, using a one-step binomial model, with the following parameters: S_0=$100, u=1.20, and the risk-free interest rate (continuously compounded) of 6% per annum, is : $30 for up and $0 for down. Using the delta-hedging approach, a portfolio consisting of one short option position must have a ------- number of shares. Select one: a. 0.9107 b. 0.7184 C. 0.8182 Od. 1.0000 Your answer is incorrect. The correct answer is: 0.8182 X
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Related Book For
Accounting Principles
ISBN: 978-1119411482
13th edition
Authors: Jerry J. Weygandt, Paul D. Kimmel, Donald E. Kieso
Posted Date:
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