Buy-sell to delta hedge this position

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Reference no: EM131918869

Consider a stock that follows a geometric Brownian motion with mu = 7% / year, and sigma = 29% / year. The current price of that stock is $99.12 and the annual interest rate is 3.1%. Suppose you sold a client 10,000 put options with a strike of $97.31 each that expire in 1 year and you want to hedge your exposure to this position. How many shares of stock should you buy/sell to delta hedge this position?

Reference no: EM131918869

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