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Create a delta neutral portfolio

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Reference no: EM133004103

Using BIack-Scholes obtain the price of a 6-month European put on 1000 stocks with a strike of $75 if the underlying stock price is currently $79, the volatility of the stock is 20%, and the risk- free interest rate is 5% per annum with continuous compounding. What position in 6-month futures contracts would you have to obtain in order to create a delta neutral portfolio if each futures contract is for the delivery of 20 stocks?

Reference no: EM133004103

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