Question
Consider a binomial world in which the current stock price of 80 can either go up by 10 percent or down by 8 percent. The
Consider a binomial world in which the current stock price of 80 can either go up by 10 percent or down by 8 percent. The risk-free rate is 4 percent. Assume a two-period world. Now consider a call with an exercise price of 80.
What is the hedge ratio if the stock goes down period one
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Introduction To Derivatives And Risk Management
Authors: Don M. Chance, Robert Brooks
10th Edition
130510496X, 978-1305104969
