Question
Suppose we have a portfolio with a value of $2M. It has a Beta of 2.3 We can get an S&P 500 index option with
Suppose we have a portfolio with a value of $2M. It has a Beta of 2.3
We can get an S&P 500 index option with a strike price of 3094 and a Delta of -.4123.
If we only wanted to protect the portfolio at half the full protection (50% hedged), how many PUTs should we buy?
| A. | 3.6 | |
| B. | 18 | |
| C. | 36.06 | |
| D. | 9 |
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Real Estate Finance Today
Authors: Dearborn
6th Edition
1475407475, 9781475407471
