Suppose you sell a 45-strike call with 91 days to expiration. What is delta? If the option

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Suppose you sell a 45-strike call with 91 days to expiration. What is delta? If the option is on 100 shares, what investment is required for a delta-hedged portfolio? What is your overnight profit if the stock tomorrow is $39? What if the stock price is $40.50?
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Derivatives Markets

ISBN: 9789332536746

3rd Edition

Authors: Robert McDonald

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