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Business, 23.04.2021 16:20 rachelsweeney10

The current stock price of Alcoco is $70, and the stock does not pay dividends. The instantaneous risk-free rate of return is 6%. The instantaneous standard deviation of Alcoco's stock is 40%. You want to purchase a put option on this stock with an exercise price of $75 and an expiration date 30 days from now. According to the Black-Scholes OPM, you should hold shares of stock per 100 put options to hedge your risk. a) 34
b) 74
c) 30
d) 69

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