You work at an investment bank which recently wrote a custom (not publicly traded) option to a
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You work at an investment bank which recently wrote a custom (not publicly traded) option to a client. The option was based on the value of bitcoin (BTC) and had a strike price of $80,000 and expires in 2 months. BTC currenlty trades for $70,000. BTC has an annualized volatility of 70%. The current risk free rate is 5% The option was for 1000 BTC coins. You need to create hedge using long positions in BTC. How much BTC should you buy today?
Related Book For
Fundamental Managerial Accounting Concepts
ISBN: 978-1259569197
8th edition
Authors: Thomas Edmonds, Christopher Edmonds, Bor Yi Tsay, Philip Olds
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