Assume a volatility of 25%. What is going to be the hedging ratio for a replicating portfolio for an option that pays $0
Posted: Mon May 02, 2022 9:46 am
Assume a volatility of 25%. What is going to be the hedging
ratio for a replicating portfolio for an option that pays $0$ in
the case of good state of the world and $2$ in the BAD state of the
world. Assume the option expires in half a year and the current
stock price is 20$ ( Hint: form the replicating portfolio and calc
the alpha for this payoff ) PLEASE ANSWER ASAP WILL GIVE POSITIVE
RATING
p.s. Don't chase bps !!
-0.28
-0.14
-0.89
NONE OF THE ABOVE
ratio for a replicating portfolio for an option that pays $0$ in
the case of good state of the world and $2$ in the BAD state of the
world. Assume the option expires in half a year and the current
stock price is 20$ ( Hint: form the replicating portfolio and calc
the alpha for this payoff ) PLEASE ANSWER ASAP WILL GIVE POSITIVE
RATING
p.s. Don't chase bps !!
-0.28
-0.14
-0.89
NONE OF THE ABOVE