Question
A pharma stock is forecast to either increase from its current price of $60/share to $72 or to drop to $54/share depending of the FDA
A pharma stock is forecast to either increase from its current price of $60/share to $72 or to drop to $54/share depending of the FDA approval or denial of its new drug. You have 200 shares of such pharma shares, and you want to delta hedge them using at-the-money calls. Given that risk-free interest rate is 4%, what is the value of one call contract in $?
- A. $538.46
- B. $5.38
- C. $400
- D. $4.00
A pharma stock is forecast to either increase from its current price of $60/share to $72 or to drop to $54/share depending of the FDA approval or denial of its new drug. You have 200 shares of such pharma shares, and you want to delta hedge them using at-the-money calls. Given that risk-free interest rate is 4%, what is the value of one put contract in $?
- A. $400.00
- B. $307.69
- C. $370.69
- D. $312.87
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Labor and Employment Law Text and Cases
Authors: David Twomey
15th edition
978-1133188285
