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oronto Skaters' stock is now worth $100.00. In one month it can either be $80.00 or $120.00. Given that the monthly risk-free rate is 2%,
oronto Skaters' stock is now worth $100.00. In one month it can either be $80.00 or $120.00. Given that the monthly risk-free rate is 2%, how many calls does the investor need to sell to hedge a long position in ABC stock? What is the corresponding value of the call? (assume strike price = $100.00)
Question 10 options:
a) 0.5; $ 43.14
b) 1; $ 21.57
c) 2; $10.78
d) 2; $43.14
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