Business, 22.04.2021 23:30 brookespradley1

5. IBM stock currently sells for 70 dollars per share. The implied volatility equals 35. 0. The risk-free rate of interest is 8. 5 percent continuously compounded. If you owned a 100 shares of IBM stock with strike price 67 and maturity 8 months, how many call options would you have to buy (sell) to create a delta-neutral hedge? Assume each option controls one share of IBM stock?

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5. IBM stock currently sells for 70 dollars per share. The implied volatility equals 35. 0. The risk...

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