Question
ABL shares are currently trading at a price of $12, while HHT shares are trading at a price of $48.69. 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 $48.69. The risk-free rate is 1.29% per year.
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 $46.01205
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The Palgrave Handbook Of Technological Finance
Authors: Raghavendra Rau, Robert Wardrop, Luigi Zingales
1st Edition
3030651169, 978-3030651169
