Suppose that JPMorgan Chase sells call options on $$2\mathrm{.}60$ million worth of a stock portfolio

with beta $=1\mathrm{.}70.$ The option delta is $0\mathrm{.}70.$ It wishes to hedge its resultant exposure to a market

advance by buying a market$-$index portfolio. Suppose it use market index puts to hedge its

exposure. The index at current prices represents $$2,000$ worth of stock and the contract

multiplier is $400.$

Required:

a$.$ How many dollars' worth of the market$-$index portfolio should it purchase?

b$.$ What is the delta of a put option?

c$.$ Complete the following:

Answer is complete but not entirely correct.

Complete this question by entering your answers in the tabs below.

Complete the following:

Note: Do not round your intermediate calculations. Round your answer to $1$ decimal place.

contracts.