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How many put options with X=870 do you have to buy to delta hedge holding 251 of the underlying shares, currently priced at S=822? The
How many put options with X=870 do you have to buy to delta hedge holding 251 of the underlying shares, currently priced at S=822? The stock's standard deviation is 30%, the log risk free rate is 2.3% and the put' time to expiration is 70 days.
For precision, use your BSM spreadsheet to price the option.
Round the number of options to be purchased to the nearest integer.
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