The current price of a non-dividend paying stock is $108. Over the next year, it is expected

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The current price of a non-dividend paying stock is $108. Over the next year, it is expected to go up or down by 14% or 13%, respectively. The risk-free rate is 8% per year with continuous compounding. A market-maker of an important investment bank just sold 100 at-the-money European call options (i.e. one contract) expiring in one year to an important client. How many shares of the stock does she need to buy in order to hedge her exposure? Express your answer with two decimals.

Posted Date: Sep 26, 2021 02:50 AM

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The current price of a non-dividend paying stock is $108. Over the next year, it is expected

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