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Consider a stock (So=100) and a call option (K=105). Given that the stock's price could gain 10% over the next 6 months or lose 10%
Consider a stock (So=100) and a call option (K=105). Given that the stock's price could gain 10% over the next 6 months or lose 10% over the next 6 months, you construct a riskless hedge portfolio that is long (delta) shares and short one call. The risk free rate is 10% per annum. What is (delta)?
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