A stock is selling for $18.50. The possible stock prices at the end of 6 months are $22.50 and $15.00. Interest rate is
Posted: Mon May 02, 2022 9:24 am
A stock is selling for $18.50. The possible stock prices at the
end of 6 months are $22.50 and $15.00. Interest rate is 6.0% and
dividend yield is 0%. Construct a replicating portfolio of stock
and bond for a $20-strike 6-month maturity call option.
(a) Δ = 0.67, B = -$4.52
(b) Δ = 0.67, B = -$3.65
(c) Δ = 0.50, B = -$2.27
(d) Δ = 0.33, B = -$4.85
(e) I choose not to answer
end of 6 months are $22.50 and $15.00. Interest rate is 6.0% and
dividend yield is 0%. Construct a replicating portfolio of stock
and bond for a $20-strike 6-month maturity call option.
(a) Δ = 0.67, B = -$4.52
(b) Δ = 0.67, B = -$3.65
(c) Δ = 0.50, B = -$2.27
(d) Δ = 0.33, B = -$4.85
(e) I choose not to answer