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Reproduce the analysis in Table 13.2, assuming that instead of selling a call you sell a 40-strike put. How many shares do you have to
Reproduce the analysis in Table 13.2, assuming that instead of selling a call you sell a 40-strike put. How many shares do you have to purchase for rebalancing at the end of Day 1? Find the closest number. [Reference: Class example] Day Stock (S) 40 Put (S) Put Delta 4 40.00 195.49 0.419402 40.00 194.58 -0.41986 40.50 178.08 -0.385797 39.25 230.55 0.468923 38.75 254.05 -0.504365 199.05 0.417596 1.7 3.2 3.6 5.7 Reproduce the analysis in Table 13.2, assuming that instead of selling a call you sell a 40-strike put. How many shares do you have to purchase for rebalancing at the end of Day 1? Find the closest number. [Reference: Class example] Day Stock (S) 40 Put (S) Put Delta 4 40.00 195.49 0.419402 40.00 194.58 -0.41986 40.50 178.08 -0.385797 39.25 230.55 0.468923 38.75 254.05 -0.504365 199.05 0.417596 1.7 3.2 3.6 5.7
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