Question
A bank has just sold 250,000 call options on shares of a stock. The strike price is 49; the stock price is 50; the continuously
A bank has just sold 250,000 call options on shares of a stock. The strike price is 49; the stock price is 50; the continuously risk-free rate is 7%; the volatility is 25%; and the time to maturity is 0.25. What position should the company take in the stock for delta neutrality?
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Routledge Handbook Of Financial Technology And Law
Authors: Iris Chiu, Gudula Deipenbrock
1st Edition
0367344149, 978-0367344146
