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Let's say you are long 1000 ATM put options in a one-period binomial tree. The underlying asset, Silver, is trading for $1,200/unit currently and you
Let's say you are long 1000 ATM put options in a one-period binomial tree. The underlying asset, Silver, is trading for $1,200/unit currently and you expect that over the next period it will either go up by 10% or down by 7%. The risk-free rate is 3%. How many shares do you need to buy to create a risk-free portfolio?
rounded to the nearest integer
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