Question
Use relevant information from the above question to construct a delta-hedging table with the same headings as in the lecture slides . execute the following
Use relevant information from the above question to construct a delta-hedging table with the same headings as in the lecture slides. execute the following steps.
a.Construct the tables for the following stock prices which occur at the end of each month for the next 6-months. Thus, you are only delta-hedging once every month, i.e. for months 0, 1, 2, 3, 4, 5, 6 (when option matures);
b.90.0; 91.0; 93.0; 95.0; 93.5; 97.0; 99.0;
c.NOTE: Do not worry about the Std. dev. lining up with the figure you get in part f) above.
d.Clearly show the payoffs, profits, and all relevant cash flows at the end of the term (6 months).
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