A stock is currently trading at 80 You hold a portfolio consisting of the following (a) Long 100 units of stock (b) Short 100 calls, each with a strike of 90 (c) Long 100 puts, each with a strike of 70 Suppose the delta of the 90 strike call is 0 45 while the delta of the 70 strike put is 0 60 What...

We consider each component of the portfolio individually and then add them ...

A stock is currently trading at 80. You hold a portfolio consisting of the following: (a) Long

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A stock is currently trading at 80. You hold a portfolio consisting of the following:

(a) Long 100 units of stock.

(b) Short 100 calls, each with a strike of 90.

Suppose the delta of the 90-strike call is 0.45 while the delta of the 70-strike put is −0.60. What is the aggregate delta of your portfolio?

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Derivatives Principles And Practice

ISBN: 9780078034732

2nd Edition

Authors: Rangarajan Sundaram

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Question Posted: Jan 10, 2024 01:00 AM

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A stock is currently trading at 80. You hold a portfolio consisting of the following: (a) Long

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Derivatives Principles And Practice

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