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Question 13 DEF stock has price $81.40 at noon, and currently pays no dividend. Consider the six-month European-style call option on DEF stock with strike
Question 13 DEF stock has price $81.40 at noon, and currently pays no dividend. Consider the six-month European-style call option on DEF stock with strike price $85. Interest rates are zero. The call has price = 4.55, delta = 0.468, theta = -6.00/year, gamma = .026. Suppose you build a replicating portfolio, consisting of DEF stock and cash (designed to replicate a six-month European-style call option contract on 100 shares of DEF with strike price $85). Today, with six months remaining, and DEF stock price $81.40: How many shares (of DEF) are in the replicating portfolio
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