Question
Suppose S = 25, sigma = 32%, r = 4%, o = 0%, and T = 182 days. Suppose you buy a 23-strike call. What
Suppose S = 25, sigma = 32%, r = 4%, o = 0%, and T = 182 days. Suppose you buy a 23-strike call. What is delta? If the option is on 100 shares, what investment is required for a delta-hedged portfolio? What is your overnight profit if the stock price tomorrow is S = 24.552 What if the stock price is $26.25?
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Financial Management Principles And Applications
Authors: Sheridan Titman, Arthur Keown, John Martin
13th Global Edition
1292222182, 978-1292222189
