Question
Find the hedge ratio for a call option on 10,000 with a strike price of 12,500. The current exchange rate is 1.50/1.00 and in the
Find the hedge ratio for a call option on 10,000 with a strike price of 12,500. The current exchange rate is 1.50/1.00 and in the next period the exchange rate can increase to 2.40/ or decrease to 0.9375/ (i.e. u = 1.6 and d = 1/u = 0.625).
0.7863
0.6154
0.4480
0.3846
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Case Studies In Finance
Authors: Robert Bruner, Kenneth Eades, Michael Schill
6th Edition
0073382450, 978-0073382456
