Question
Consider the following data for a stock and a call option on that stock: the stocks current price is , the stocks value in the
Consider the following data for a stock and a call option on that stock: the stocks current price is , the stocks value in the up state is while its value in the down state is , the call options strike (exercise) price , and the risk-free rate . Derive the hedge ratio (HR) and the price of the call option today,.
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Applied Quantitative Finance
Authors: Härdle
3rd Edition
3662544857, 978-3662544853
