Question
Let's say you are long 1000ATM putoptions in a one-period binomial tree.The underlying asset,Silver,is trading for $3,126/unitcurrently and you expect that over the next period
Let's say you are long 1000ATM putoptions in a one-period binomial tree.The underlying asset,Silver,is trading for $3,126/unitcurrently and you expect that over the next period it will either go up by10%or down by 10%. The risk free rate is 3%.How many shares do you need to buy to create a risk free portfolio?
Provide your answer rounded to the nearest integer .
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Accounting Information Systems
Authors: Cynthia D Heagy, Constance M Lehmann
7th Edition
1111219516, 978-1111219512
