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IBM stock currently sells for 64 dollars per share. The implied volatility equals 40.0. The risk-free rate of interest is 5.5 percent continuously compounded. If
IBM stock currently sells for 64 dollars per share. The implied volatility equals 40.0. The risk-free rate of interest is 5.5 percent continuously compounded. If you shorted an option on 100 shares of IBM stock with strike price 69 and maturity 9 months, how many shares of stock would you have to buy (sell) to make delta-neutral hedge?
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To create a deltaneutral hedge the number of shares of stock you would need to buy sell depends on t...
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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
