A European call will mature in one time step. The writer has a hedge for fofu...
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A European call will mature in one time step. The writer has a hedge for fofu 100 of these calls and has adjust the hedge for the final time before maturity. The hedge currently contains 62 of the underlying and borrowed funds of $42. The return per time step is R = 1.1. At maturity the underlying is worth $17. What is the total value of the hedge when the calls mature? A European call will mature in one time step. The writer has a hedge for fofu 100 of these calls and has adjust the hedge for the final time before maturity. The hedge currently contains 62 of the underlying and borrowed funds of $42. The return per time step is R = 1.1. At maturity the underlying is worth $17. What is the total value of the hedge when the calls mature?
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