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Consider a call option with a strike price of $65.00 on an underlying priced at $60.00. During the coming period, the underlying could go up
Consider a call option with a strike price of $65.00 on an underlying priced at $60.00. During the coming period, the underlying could go up by 30% or down by 25%. The risk-free rate is 1.20%.
To make your portfolio arbitrage free, if you write 1000 calls, rounded to the nearest whole number, you should go long __________________ shares of the underlying?
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