Find the hedge ratio for put option using the data provided

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Reference no: EM13731380

S=50, k=50, r=0.25%, T=3 months \sigma=0.1

a. Find the hedge ratio for a put option using the data provided.

b. Use the hedge ratio to show the loss on a portfolio of 200 shares if the portofolio is hedged with put options. The percentage loss on the shares is 2%.

c. Use the hedge ratio to show the loss on a portfolio of 200 shares if the hedge ratio is used to convert a portion of the shares to T-Bills. The percentage loss on the shares is 2%

d. What is the difference between b and c?

Reference no: EM13731380

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