Question
Using the portfolio and hedge ratio from the previous question, and assuming the S&P 500 intitial value is 3109.55. What is our portfolio value if
Using the portfolio and hedge ratio from the previous question, and assuming the S&P 500 intitial value is 3109.55.
What is our portfolio value if the market drops 6%?
What is the change in value of our puts?
What is our total profit or loss?
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Bitcoin Technical Innovations From The Trenches
Authors: Sjors Provoost
1st Edition
9090360425, 978-9090360423
