Create a delta neutral hedge

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IBM stock currently sells for 84 dollars per share. The implied volatility equals 47.5. The risk-free rate of interest is 4.5 percent continuously compounded. If you owned a 100 shares of IBM stock with strike price 83 and maturity of 8 months, how many call options would have to buy (sell) to create a delta neutral hedge. Assume each option controls one share of IBM stock.

Reference no: EM132726018

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