You are managing a pension fund with a value of $200 million and a beta of 1.07.
Question:
You are managing a pension fund with a value of $200 million and a beta of 1.07. You are concerned about a market decline and wish to hedge the portfolio. You have decided to use SPX calls. How many contracts do you need if the delta of the call option is .55 and the S&P Index is currently at 1230?
Fantastic news! We've Found the answer you've been seeking!
Step by Step Answer:
Number of option contracts Num...View the full answer
Answered By
PALASH JHANWAR
I am a Chartered Accountant with AIR 45 in CA - IPCC. I am a Merit Holder ( B.Com ). The following is my educational details.
PLEASE ACCESS MY RESUME FROM THE FOLLOWING LINK: https://drive.google.com/file/d/1hYR1uch-ff6MRC_cDB07K6VqY9kQ3SFL/view?usp=sharing
3+ Reviews
10+ Question Solved
Related Book For 
Fundamentals of Investments Valuation and Management
ISBN: 978-0077283292
5th edition
Authors: Bradford D. Jordan, Thomas W. Miller
Question Posted:
