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Construct a delta-neutral portfolio comprising positions

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Reference no: EM131640191

ExxonMobil stock currently is R90 per share, and the risk-free rate is 4%. You believe that the true volatility of the stock is 32%, how many calls will you hold for each share purchased? Suppose that you entered into a 3-month call contract with strike price of R90 and you have revised the volatility of ExxonMobil to 34%. Construct a delta-neutral portfolio comprising positions in calls.

Reference no: EM131640191

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