Question
Information on your stock portfolio is given as: Current portfolio value$1,000,000Portfolio market beta1.0Current S&P 500 index2,500 What action is needed today to insure against your
Information on your stock portfolio is given as:
Current portfolio value$1,000,000Portfolio market beta1.0Current S&P 500 index2,500
What action is needed today to insure against your portfolio value dropping below $900,000 in 2 years?
Buy 400 2-yr S&P500 put options with strike price of 2,250.
Buy 800 2-yr S&P500 put options with strike price of 2,000.
Buy 800 2-yr S&P500 put options with strike price of 2,250.
Buy 400 2-yr S&P500 put options with strike price of 2,000.
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Options Futures and Other Derivatives
Authors: John C. Hull
10th edition
013447208X, 978-0134472089
