Astpac Bank has just purchased 858 European call options, on stock with a current share price $40,
Fantastic news! We've Found the answer you've been seeking!
Question:
You know from past experience that the volatility of these shares is equal to 11% pa and that these shares have an average yield of 7% pa. Given that the risk free rate is 3% pa, calculate the delta of these options so that you can advise Eastpac Bank as to how they can hedge their portfolio position.
Related Book For
Corporate Finance A Focused Approach
ISBN: 978-1305637108
6th edition
Authors: Michael C. Ehrhardt, Eugene F. Brigham
Posted Date: