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You also know that the risk-free rate is RFR =6% per subperiod (i.e., 12.36% annualized). The riskless portfolio will initially contain 1 share of stock
You also know that the risk-free rate is RFR =6% per subperiod (i.e., 12.36% annualized). The riskless portfolio will initially contain 1 share of stock and call options. After an initial up move to $35.20 the hedge ratio is nearest cent. You also know that the risk-free rate is RFR =6% per subperiod (i.e., 12.36% annualized). The riskless portfolio will initially contain 1 share of stock and call options. After an initial up move to $35.20 the hedge ratio is nearest cent
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