Question
Find the hedge ratio for a put option on $15,000 with a strike price of 10,000. In one period the exchange rate (currently S($/) =
Find the hedge ratio for a put option on $15,000 with a strike price of 10,000. In one period the exchange rate (currently S($/) = $1.50/) can increase by 60% or decrease by 37.5% (i.e. u = 1.6 and d = 0.625). Ans: -15/49
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ISE Financial Institutions Management A Risk Management Approach
Authors: Anthony Saunders Professor, Marcia Millon Cornett, Otgo Erhemjamts
10th International Edition
1260571475, 9781260571479
