Question
Delta of a call option is 0.85. How many units of the underlying stock should you hold to hedge a short position in 100 call
Delta of a call option is 0.85. How many units of the underlying stock should you hold to hedge a short position in 100 call option contracts? The contract multiplier is 100.
a.0.85
b.85,000
c.85
d.8,500
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Quantitative Analysis for Management
Authors: Barry Render, Ralph M. Stair, Michael E. Hanna, Trevor S. Ha
12th edition
133507335, 978-0133507331
