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The current price of a stock is $80. A European option on the stock has a strike price of $75. The value of the option
The current price of a stock is $80. A European option on the stock has a strike price of $75. The value of the option is $4.17. The elasticity of the option is -5.35. An investor uses the stock and a risk-free asset to create a replicating portfolio to match the performance of the option. Calculate the amount that the investor invests in the risk-free asset. The current price of a stock is $80. A European option on the stock has a strike price of $75. The value of the option is $4.17. The elasticity of the option is -5.35. An investor uses the stock and a risk-free asset to create a replicating portfolio to match the performance of the option. Calculate the amount that the investor invests in the risk-free asset
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