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Category > Accounting Posted 12 Jun 2017 My Price 5.00

Hedging with Options Suppose you have a stock market portfolio

 

Hedging with Options Suppose you have a stock market portfolio with a beta of .95 that is currently worth $300 million. You wish to hedge against a decline using index options. Describe how you might do so with puts and calls. Suppose you decide to use SPX calls. Calculate the number of contracts needed if the contract you pick has a delta of .50, and the S&P 500 Index is at 1340.

One-Period Binomial Option Pricing A stock is currently selling for $52. In one period, the stock will move up by 1.15 or down by .87. A call option with a strike price of $50 is available. If the risk-free rate of interest is 2.5 percent per period, what is the value of the call option?

 
 

Answers

Alpha Geek
(8)
Status NEW Posted 12 Jun 2017 08:06 AM My Price 5.00

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file 1497256033-Answer.docx preview (285 words )
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