Question
a. If, in a two-state model, a stock can take a price of 172 or 129, what would be the hedge ratio for each of
a. If, in a two-state model, a stock can take a price of 172 or 129, what would be the hedge ratio for each of the following prices: $172, $165, $155, $129? (Leave no cells blank - be certain to enter "0" wherever required. Round your answers to 2 decimal places.)
| X | Hedge Ratio | |
| $ | 172 | |
| $ | 165 | |
| $ | 155 | |
| $ | 129 | |
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Handbook Of Energy Finance Theories Practices And Simulations
Authors: Stéphane Goutte, Duc Khuong Nguyen
1st Edition
9813278374, 978-9813278370
