Assume a one-period binomial model, S=100, u =1.05, d =.95, the interest rate and the dividend yield

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Assume a one-period binomial model, S=100, u =1.05, d =.95, the interest rate and the dividend yield are zero. What is the hedge ratio of an option with K = 95?

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Fundamentals Of Financial Management

ISBN: 9780273713630

13th Revised Edition

Authors: James Van Horne, John Wachowicz

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Posted Date: Apr 28, 2023 03:04 AM

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Assume a one-period binomial model, S=100, u =1.05, d =.95, the interest rate and the dividend yield

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SOLUTION The hedge ratio of an option is the ratio of delta to the option price Delta is calculated as the change in the option price divided by the c... View the full answer

Fundamentals Of Financial Management

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