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26.7. You are a market-maker and wrote a European put option. You delta-hedged it with the underlying stock. You are given the following information for
26.7. You are a market-maker and wrote a European put option. You delta-hedged it with the underlying stock. You are given the following information for the put option and the underlying stock: Stock price Put premium Put delta Day 0 55 1.00 -0.10 Day 1 55 0.98 -0.11 Calculate the number of shares to buy or sell on day 1 to maintain the delta hedge 26.7. You are a market-maker and wrote a European put option. You delta-hedged it with the underlying stock. You are given the following information for the put option and the underlying stock: Stock price Put premium Put delta Day 0 55 1.00 -0.10 Day 1 55 0.98 -0.11 Calculate the number of shares to buy or sell on day 1 to maintain the delta hedge
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