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Suppose over the next period a stock will either go up by a factor u = 1.26, or down by a factor d = 0.76.

Suppose over the next period a stock will either go up by a factor u = 1.26, or down by a factor d = 0.76. How many shares of the stock are in the replicating portfolio for the one-period at-the-money call on the stock?

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