Question
Laura has an equity portfolio valued at $11.25 million that has a beta of 1.27. She has decided to hedge this portfolio using SPX call
Laura has an equity portfolio valued at $11.25 million that has a beta of 1.27. She has decided to hedge this portfolio using SPX call option contracts. The S&P 500 index is currently 1,502. The option delta is .543. How many option contracts must Laura write to effectively hedge her portfolio?
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Analysis Of Financial Data
Authors: Gary Koop
1st Edition
0470013214, 978-0470013212
