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A stock is trading at $40 and has an annual volatility of 25%. The risk-free interest rate is 2%. A 12-month European call and a
- A stock is trading at $40 and has an annual volatility of 25%. The risk-free interest rate is 2%. A 12-month European call and a 12-month European put both have a strike price of $45.
- (1.5 points) If you sold the call, how to fully hedge your position with stock and bond?
- (1.5 points) If you sold the put, how to fully hedge your position with stock and bond?
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Bitcoin Technical Innovations From The Trenches
Authors: Sjors Provoost
1st Edition
9090360425, 978-9090360423
