Consider a position of two purchased calls (AT&T, three months, K =30) and one written put (AT&T, three months, K =30). What position in AT&T stock will show the same sensitivity to price changes in AT&T stock as the option position described above? Express your answer algebraically as a function of d1 from the Black- Scholes model.

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ANS WER 30 d 1 WORK ING d 1 K S s igma sq r... View the full answer