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How many put options with X=870 do you have to buy to delta hedge holding 453 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 453 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 (and to save time), use your BSM spreadsheet to get the put's delta.
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