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An investor purchased 100 puts whose delta is -$0.9. Each put covers 100 shares. (a) What should be the delta-neutral position in this case? (b)
An investor purchased 100 puts whose delta is -$0.9. Each put covers 100 shares.
(a) What should be the delta-neutral position in this case?
(b) What would be the total effect of $0.5 price increase of each share in this case under the ceteris paribus condition?
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Fundamentals of Financial Management
Authors: Eugene F. Brigham, Joel F. Houston
11th edition
324422870, 324422873, 978-0324302691
