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Establish a delta-neutral position

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IBM stock currently sells for 28 dollars per share. Over 11 month(s) the price will either go up by 16.0 percent or down by -7.0 percent. The risk-free rate of interest is 9.0 percent continuously compounded. If you are short one call option with strike price 29 and maturity 11 months how many shares of stock must you buy to establish a delta-neutral position?

Reference no: EM132403152

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