Hedge ratio for an at the money, Finance Basics

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Hedge ratio for an at the money

A stock currently sells for $120, and will sell for either $90 or $145 one year from now. The risk free rate is 5%.

a. Calculate the hedge ratio for an at the money put option

b. Derive the price of the option using the binomial pricing model

c. What should be the price on an at the money call option?

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Finance Basics: Hedge ratio for an at the money

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Request for Solution File

Ask an Expert for Answer!!

Finance Basics: Hedge ratio for an at the money

Reference No:- TGS041601

Have a Question? (oR Write a Review)

Recent Questions Asked Finance Basics

Q : Determining the cash dividend

Q : Critical differences in profit analysis

Q : Diluted earnings per share concept

Q : Impact on profits of investment bank

Q : Hedge ratio for an at the money

Q : Effective tools for measuring and reporting

Q : Computing the yield-to-maturity

Q : Assumptions about monetary investment in mba

Q : Conceptual framework of accounting

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Request for Solution File

Ask an Expert for Answer!!

Finance Basics: Hedge ratio for an at the money

Reference No:- TGS041601

Recent Questions Asked Finance Basics

Q : Determining the cash dividend

Q : Critical differences in profit analysis

Q : Diluted earnings per share concept

Q : Impact on profits of investment bank

Q : Hedge ratio for an at the money

Q : Effective tools for measuring and reporting

Q : Computing the yield-to-maturity

Q : Assumptions about monetary investment in mba

Q : Conceptual framework of accounting

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