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Create delta-neutral hedges

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IBM stock currently sells for 44 dollars per share. The implied vitalityequals 45.0 percent. The risk free rate of interest Is 7.0 percent continuously compounded. If you owned 100 shares of IBM stock with strike price 45 and maturity of 5 months, how many call options would you have to buy (sell) or create delta-neutral hedges? Assume each option controls one share of IBM stock.

Reference no: EM132499535

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