Given the following information, determine the number of shares of stock that must be purchased to form

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Given the following information, determine the number of shares of stock that must be purchased to form a hedged position if one option contract (covering 100 shares of stock) is to be written.

Stock price = $100

Exercise price = $95

Interest rate = 8%

Time to expiration = 180 days

Standard deviation — 0.6

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Investments Analysis and Management

ISBN: 978-1118363294

12th edition

Authors: Charles P. Jones

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Question Posted: Dec 15, 2015 06:30 AM

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Given the following information, determine the number of shares of stock that must be purchased to form

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The hedge ratio Delta or N d 1 069 Therefore for every call option written 069 ...View the full answer

Investments Analysis and Management

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