Question
A stock price is currently $20. It is known that at the end of one month that the stock price will either increase to 24
A stock price is currently $20. It is known that at the end of one month that the stock price will either increase to 24 or decrease to 17. The risk-free interest rate is 10% per annum with continuous compounding.
An investor wants to create a (riskless) hedged portfolio consisting of a long position in shares of stock plus one short European call option with strike price of $17 and expiration in 1 month.
What is the present value of this hedge portfolio AT TIME 0?
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Day Trading For Beginners 7 Steps To Earning $2 000 Per Month Day Trading In Less Than 20 Hours A Week
Authors: David Princeton
1st Edition
1511541202, 978-1511541206
