Question
a. Consider a call option. If, in a two-state model, a stock can take a price of $176 or $132, what would be the hedge
a. Consider a call option. If, in a two-state model, a stock can take a price of $176 or $132, what would be the hedge ratio for each of the following exercise prices: $176, $170, $160, $132? (Leave no cells blank - be certain to enter "0" wherever required. Round your answers to 2 decimal places.)
| X | Hedge Ratio | |
| $ | 176 | |
| $ | 170 | |
| $ | 160 | |
| $ | 132 | |
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Public Finance
Authors: Harvey S Rosen
6th Edition
0072374055, 978-0072374056
