Question
Futures price of a commodity is currently trading at 100. By delivery date, futures price can either rise to 140 or drop to 70. The
Futures price of a commodity is currently trading at 100. By delivery date, futures price can either rise to 140 or drop to 70. The put option has K =90. To create a hedge portfolio with one put and some futures, we need to ______ futures contract for one put option we long.
- A. short .25
- B. short .35
- C. short .28
- D. long .35
- E. long .28
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Production And Operations Analytics
Authors: Steven Nahmias, Tava Lennon Olsen
8th Edition
1478639261, 9781478639268
