An investment bank sold for 8,500 an European Put option on 100,000 shares of a non-dividend paying

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An investment bank sold for £8,500 an European Put option on 100,000 shares of a non-dividend paying stock. The share price today is 200p and the Put is at the money, the risk free rate is 5%, the volatility 20% and the maturity 20 weeks.

How many shares does the investment bank have to buy or sell now (moment when the option is written) if it is taking:

A naked position?

A covered position?

A Delta hedged position?

Related Book For answer-question

Financial statements

ISBN: 978-007802531

5th Edition

Authors: Stephen Barrad

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Posted Date: Jun 15, 2023 04:45 AM

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An investment bank sold for 8,500 an European Put option on 100,000 shares of a non-dividend paying

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To determine the number of shares the investment bank needs to buy or sell in each position well con... View the full answer

Financial statements

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