Question
KOSPI200 Index Fund for Dynamic Hedge. Calculate the value of the portfolio at maturity after delta hedging. Volatility =30%, risk-free interest rates r=6% exercise index
KOSPI200 Index Fund for Dynamic Hedge. Calculate the value of the portfolio at maturity after delta hedging. Volatility =30%, risk-free interest rates r=6% exercise index k=150. Suppose that one unit of fund is traded at KOSPI200*100000\. Fill in the blanks in the table and write a description of the calculation and the calculation process.
| Remaining maturity | KOSPI200 | Call option | delta | Trading volume | Borrowed money | Portfolio value |
| 5weeks | 150 |
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| 4w | 145 |
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| 3w | 148 |
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| 2w | 150 |
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| 1w | 152 |
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| 0w | 155 |
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Handbook Of Business Valuation
Authors: Thomas L. West, Jeffrey D. Jones
2nd Edition
0471297879, 978-0471297871
