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An asset manager has a short position of 1 0 , 0 0 0 shares of company DMT . The asset manager wants to hedge

An asset manager has a short position of 10,000 shares of company DMT. The asset manager wants to hedge 35% of the market risk associated with this position. For that purpose, it has been decided to use call options with shares of company DMT as underlying. The absolute value of the delta of this call option is 0.25.
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