Question
Miller stock price is currently $50. It is known that at the end of six months it will be either $60 or $40. The risk-free
Miller stock price is currently $50. It is known that at the end of six months it will be either $60 or $40. The risk-free interest rate is 3.5% per annum with continuous compounding. A riskless portfolio is created by shorting delta shares and long a six-month European put option with a strike price of $49. What is the value of the riskless portfolio at expiration?
| A. | $29 | |
| B. | $27 | |
| C. | $20 | |
| D. | $10 |
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Fundamentals Of Multinational Finance
Authors: Michael H. Moffett, Arthur I. Stonehill, David K. Eiteman
1st Edition
0201844842, 978-0201844849
