Question
IBM stock currently sells for 100 dollars per share. The implied volatility equals 20.0. The risk-free rate of interest is 4.0 percent continuously compounded. If
IBM stock currently sells for 100 dollars per share. The implied volatility equals 20.0. The risk-free rate of interest is 4.0 percent continuously compounded. If you owned a 200 shares of IBM stock, how many call options with a strike price of 95 and a maturity of 6 months would you have to buy (sell) to have a delta-neutral hedge? Assume each option controls one share of IBM stock. Answer should be rounded to 2 decimal places.
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Corporate Finance Core Principles and Applications
Authors: Stephen Ross, Randolph Westerfield, Jeffrey Jaffe, Bradford
3rd edition
978-0077971304, 77971302, 978-0073530680, 73530689, 978-0071221160, 71221166, 978-0077905200
