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
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
QUESTION: Using the information above, compute the risk-neutral probability of HHT shares increasing 10% if the time-step to the next node is 1 year.
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Canadian Public Sector Financial Management
Authors: Andrew Graham
3rd Edition
1553395417, 9781553395416
