Question
ABL shares are currently trading at a price of $12, while HHT shares are trading at a price of $48.76. The risk-free rate is 1.29%
ABL shares are currently trading at a price of $12, while HHT shares are trading at a price of $48.76. The risk-free rate is 1.29% per year. Put on HHT with a strike-price of $63.11.
QUESTION: Compute the Delta (number of shares) that if you also short a call on HHT will create a risk-free portfolio. Assume the call is European and that the strike-price is $46.0782
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