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The current price of a non-dividend-paying stock is $54.8. Over the next six months it is expected to rise to $100.6 or fall to $35.6.

The current price of a non-dividend-paying stock is $54.8. Over the next six months it is expected to rise to $100.6 or fall to $35.6. Assume the risk-free rate is zero. An investor sells six-month call options with a strike price of $60.9. How many shares does the investor need to hold, in order to hedge her position in the options?

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