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The current stock price is $120, and it can be either $140 or $115 in 6 months. You want to construct the risk-free portfolio by
The current stock price is $120, and it can be either $140 or $115 in 6 months. You want to construct the risk-free portfolio by buying N shares and selling one 6-month call option with a strike price of X=$135. Find N. Round your answer to the fifth decimal.
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To find the number of shares N needed to construct a riskfree portfolio we can use the concept of ar...
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Fundamentals of Investments Valuation and Management
Authors: Bradford D. Jordan, Thomas W. Miller
5th edition
978-007728329, 9780073382357, 0077283295, 73382353, 978-0077283292
