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a. Malmentier SA stock is currently priced at $65, and it does not pay dividends. The instantaneous risk-free rate of return is 7%. The instantaneous
a.
Malmentier SA stock is currently priced at $65, and it does not pay dividends. The instantaneous risk-free rate of return is 7%. The instantaneous standard deviation of Malmentier SA stock is 30%. You want to purchase a put option on this stock with an exercise price of $70 and an expiration date 30 days from now. According to the Black-Scholes OPM, you should hold __________ shares of stock per 100 put options to hedge your risk.
b.
The binomial option price approaches the Black Scholes price when ____________.
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