Question
Suppose you sell a 40 strike put with 91 days to expiration. What is delta? If the option is on 100 shares, what investment is
Suppose you sell a 40 strike put with 91 days to expiration. What is delta? If the option is on 100 shares, what investment is required for the delta-hedge portfolio? What is the overnight profit if the stock tomorrow is $39? What if it is $40.50?
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Fundamentals Of Corporate Finance
Authors: Richard A. Brealey, Marcus, Alan J, Myers, Stewart C.
2nd Edition
0070074860, 9780070074866
