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The current stock price of Aloca is $65, and the stock does not pay dividends. The instantaneous risk-free rate of return is 7%. The instantaneous
The current stock price of Aloca is $65, and the stock does not pay dividends. The instantaneous risk-free rate of return is 7%. The instantaneous standard deviation of Alcoa's stock is 30%. You want to purchase a put option on this stock with an exercise price of $70 and an expiration date of 30 days from now. According to the Black-scholes OPM, you should hold ----- shares of stock per 100 put options to hedge your risk. A) 36 B) 42 C) 77 D) 82
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