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7.5. This is a continuation of #7.4. Suppose that the price of the stock has changed to 35 in 4 months. (a) What is the change in value of the...

This question was created from HW7 5632


From 7.4: Suppose that a stock satisfies the following: S(0) = 32 δ = 0.03 r = 0.09 σ = 0.2 You purchase 50 eight month calls with strike 33 on this stock. You immediately ∆ hedge your position by selling shares of the stock. (a) How many shares of the stock do you sell? (b) How much money do you lend?


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