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Just Q7 In the following problems assume, unless otherwise stated that S = 40,0 = 30%,r = 8%, and 8 = 0. 6. Suppose you
Just Q7
In the following problems assume, unless otherwise stated that S = 40,0 = 30%,r = 8%, and 8 = 0. 6. Suppose you sell a 45-strike call with 91 days to expiration. What is delta? If the option is on 100 shares, what investment is required for a delta-hedged portfolio? What is your overnight profit if the stock tomorrow is $39? What if the stock price is $40.50? 7. Suppose you sell a 40-strike put with 91 days to expiration. What is delta? If the option is on 100 shares, what investment is required for a delta-hedged portfolio? What is your overnight profit if the stock price tomorrow is $39? What if it is $40.50? In the following problems assume, unless otherwise stated that S = 40,0 = 30%,r = 8%, and 8 = 0. 6. Suppose you sell a 45-strike call with 91 days to expiration. What is delta? If the option is on 100 shares, what investment is required for a delta-hedged portfolio? What is your overnight profit if the stock tomorrow is $39? What if the stock price is $40.50? 7. Suppose you sell a 40-strike put with 91 days to expiration. What is delta? If the option is on 100 shares, what investment is required for a delta-hedged portfolio? What is your overnight profit if the stock price tomorrow is $39? What if it is $40.50 Step by Step Solution
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