QuickHelper

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About QuickHelper

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Accounting,Applied Sciences See all
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Teaching Since: May 2017
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  • MBA, PHD
    Phoniex
    Jul-2007 - Jun-2012

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  • Corportae Manager
    ChevronTexaco Corporation
    Feb-2009 - Nov-2016

Category > Accounting Posted 27 May 2017 My Price 11.00

stock price

Question description

 

(c) Suppose that the stock price of a company Y is currently USD 250, has a volatility of 25% and the prevailing risk-free rate is 2.5%. An option writer has sold an 6-month call option 3 month ago and has been dynamically hedging it. What is his hedging position in the stock today, if the option just happens to be at-the-money currently?

 

Solution in python or in excel

Answers

QuickHelper
(10)
Status NEW Posted 27 May 2017 04:05 AM My Price 11.00

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