Reconsider the determination of the hedge ratio in the two-state model (Section 16.2), where we showed that
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Reconsider the determination of the hedge ratio in the two-state model (Section 16.2), where we showed that one-third share of stock would hedge one option. What would be the hedge ratio for each of the following exercise prices: $120, $110, $100, $90? What do you conclude about the hedge ratio as the option becomes progressively more in the money?
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Essentials Of Investments
ISBN: 9780697789945
8th Edition
Authors: Zvi Bodie, Alex Kane, Alan J. Marcus
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