Question
2. A certain stock is currently trading at 100.00 per share. The stock pays no dividends. The volatility of the stock is 30%. Find the
2. A certain stock is currently trading at 100.00 per share. The stock pays no dividends. The volatility of the stock is 30%. Find the price of a 6-month call option with a strike price of 102. The current risk free rate is 3%.
Use the information from question a to create a portfolio that replicates the payoff of the call option. How many shares of stock and how much cash would you need?
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Probability For Risk Management
Authors: Matthew J. Hassett, Donald G. Stewart
2nd Edition
156698548X, 978-1566985482
