A portfolio consists of 1,000 shares of stock and 500 short calls on that stock. The current stock price is $92.20. The
Posted: Tue Nov 16, 2021 7:47 am
A portfolio consists of 1,000 shares of stock and 500 short
calls on that stock. The current stock price is $92.20. The call
option has a maturity of one year, with an exercise price of $100
and a standard deviation of 25%. The risk-free rate is 5%. The call
option price is found by using the Black-Merton-Scholes model. What
would be the dollar change in the value of the portfolio be in
response to a one-dollar increase in the stock price?
calls on that stock. The current stock price is $92.20. The call
option has a maturity of one year, with an exercise price of $100
and a standard deviation of 25%. The risk-free rate is 5%. The call
option price is found by using the Black-Merton-Scholes model. What
would be the dollar change in the value of the portfolio be in
response to a one-dollar increase in the stock price?