The price of an underlying stock is 95 . At the end of 9 months, the...
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The price of an underlying stock is 95 ₺. At the end of 9 months, the price of an underlying stock can either rise to 120₺ or fall to 80%. Delta (A) of the stock is 2,6. a) What is the strike price of this at the money call option? (7 pts) b) If you buy 130 shares, how many options, should you short according to the delta hedging method. (3 pts) c) Calculate the call option price if the annual risk-free interest rate is 10%. (7 pts) The price of an underlying stock is 95 ₺. At the end of 9 months, the price of an underlying stock can either rise to 120₺ or fall to 80%. Delta (A) of the stock is 2,6. a) What is the strike price of this at the money call option? (7 pts) b) If you buy 130 shares, how many options, should you short according to the delta hedging method. (3 pts) c) Calculate the call option price if the annual risk-free interest rate is 10%. (7 pts)
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Introduction to Corporate Finance What Companies Do
ISBN: 978-1111222284
3rd edition
Authors: John Graham, Scott Smart
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