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An investor sells 1,000 three-month European calls on shares that are subject to continuous dividend payment at the rate q=5%. Current stock price S=$50, annual
An investor sells 1,000 three-month European calls on shares that are subject to continuous dividend payment at the rate q=5%. Current stock price S=$50, annual volatility=60%, continuous compounded risk-free interest rate r=7%, options strike k=$60. How many shares should the investor purchase so that the value of his portfolio doesnt substantially fluctuate with small price changes
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