Suppose over the next period a stock will either go up by a factor u = 1.26,
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Suppose over the next period a stock will either go up by a factoru= 1.26, or down by a factord= 0.76. How many shares of the stock are in the replicating portfolio for the one-period at-the-money call on the stock?
Related Book For
Corporate Finance A Focused Approach
ISBN: 978-1305637108
6th edition
Authors: Michael C. Ehrhardt, Eugene F. Brigham
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