Question: Using this option, for how long can you create a risk-free portfolio? (answer in months) You currently hold 100 shares of Dewey Decimal Incorporated stock.

Using this option, for how long can you create a risk-free portfolio? (answer in months)

You currently hold 100 shares of Dewey Decimal Incorporated stock. The current stock price So = $34.78, the risk-free interest rate is 2.4% (continuously-compounded, annual), and the volatility of returns (c) is 26%. You want to hedge your purchase of stock by buying and selling options - your goal is to remove all price risk from your portfolio. Consider a European put with a strike price of $35.00 and a maturity of six months. Using this option, for how long can you create a risk-free portfolio? (answer in months)

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