Question: Consider a call option. If, in a two-state model, a stock can take a price of $200 or $150, what would be the put hedge
Consider a call option. If, in a two-state model, a stock can take a price of $200 or $150, what would be the put hedge ratio for each of the following exercise prices: $180 or $160?
I know for a call at 180 it would be (200-180)/(200-150). Thanks!
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