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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.
- If you sold the call, how to fully hedge your position with stock and bond?
- If you sold the put, how to fully hedge your position with stock and bond?
- If you sold the call, how to fully hedge your position with stock and bond?
- If you sold the put, how to fully hedge your position with stock and bond?
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Public Finance A Contemporary Application Of Theory To Policy
Authors: David N Hyman
10th Edition
053875446X, 978-0538754460
