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You work at an investment bank which recently wrote a custom (not publicly traded) option to a client.The option was based on the value of
You work at an investment bank which recently wrote a custom (not publicly traded) option to a client.The option was based on the value of bitcoin (BTC) and had a strike price of $80,000 and expires in 2 months. BTC currenlty trades for $70,000.BTC has an annualized volatility of 70%. The current risk free rate is 5%The option was for 1000 BTC coins.You need to create a hedge using long positions in BTC. How much BTC should you buy today? You'll adjust this amount daily over the life of the option but for our purposes, we just need to figure out the starting point.Express your answer in number of whole BTC coinsAs a help, here's a black scholes calculator
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Entrepreneurship
Authors: Andrew Zacharakis, William D Bygrave
5th Edition
1119563097, 9781119563099
