Question
Consider a one-year European put option on a stock, current price is $25, strike price $28, and the volatility is 50% per annum. The risk-free
Consider a one-year European put option on a stock, current price is $25, strike price $28, and the volatility is 50% per annum. The risk-free rate is 1% per annum. Suppose an investor has a short position on 10,000 put options. What should she do to delta-hedge her position?
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Valuation Measuring and managing the values of companies
Authors: Mckinsey, Tim Koller, Marc Goedhart, David Wessel
5th edition
978-0470424650, 9780470889930, 470424656, 470889934, 978-047042470
