Question
Tina owns 8,400 shares of Sims stock that is currently selling for $64. A European call option on Sims with a strike price of $70
Tina owns 8,400 shares of Sims stock that is currently selling for $64. A European call option on Sims with a strike price of $70 is selling at $6 and has a delta of 0.40. What is the number of European put options necessary to create a delta- neutral hedge?
| A. | 3,360 | |
| B. | 21,000 | |
| C. | 5,040 | |
| D. | 14,000 |
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Finance For Nonfinancial Managers
Authors: Gene Siciliano
2nd Edition
0071824367, 978-0071824361
