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You use the Black-Scholes-Merton model for a put option on a stock. You calculate N(d1) = 0.60 and N(d2) = 0.56. a) What is the

You use the Black-Scholes-Merton model for a put option on a stock. You calculate N(d1) = 0.60 and N(d2) = 0.56.

a) What is the delta of the put option?

b) You short 100 put options.

How would you hedge your delta exposure using the underlying stock?

How many shares would you need to buy or sell?

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a The delta of a put option can be calculated as follows deltaput Nd1 1 T... blur-text-image

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