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You sell 10 contracts of call option on index xyz. each contract is on 100 units of the index. the option premium is currently $40,
You sell 10 contracts of call option on index xyz. each contract is on 100 units of the index. the option premium is currently $40, and the delta is $0.7512. the underlying index trades at $4,008. Approximetly how much money do you need to borrow to create a delta-neutral portfolio?
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To create a deltaneutral portfolio you need to borrow the appropriate amount of the underlying asset ...
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Fundamentals of Financial Management
Authors: Eugene F. Brigham, Joel F. Houston
Concise 6th Edition
324664559, 978-0324664553
