How many call options-create delta-neutral hedge

Assignment Help Financial Management

Reference no: EM131535885

IBM stock currently sells for 64 dollars per share. The implied volatility equals 40.0. The risk-free rate of interest is 5.5 percent continuously compounded. If you owned a 100 shares of IBM stock with strike price 69 and maturity 9 months, how many call options would you have to buy (sell) to create a delta-neutral hedge? Assume each option controls one share of IBM stock.

a. 188.70

b. 7.5132

c. 1331.0

d. 52.995

IBM stock currently sells for 64 dollars per share. The implied volatility equals 40.0. The risk-free rate of interest is 5.5 percent continuously compounded. What is the value of a call option with strike price 69 and maturity 9 months?

a. 7.8894

b. 8.9953

c. 12.940

d. 10.101

Reference no: EM131535885

Questions Cloud

Identify one such system in the united states : Using Web sites of state health departments, identify one such system in US and create a PowerPoint presentation which addresses primary functions of system.

The payback period is nothing years : The payback period is nothing years.

Why study professional ethics : Review the code of ethics of the Institute of Electrical and Electronics Engineer (IEEE) and National Society of Professional Engineers (NSPE).

Develop an essay using research : Form a thesis in three to four pages on Rear Window and develop an essay using research. Use at least one academic source and two sources of your choosing.

How many call options-create delta-neutral hedge : how many call options would you have to buy (sell) to create a delta-neutral hedge? Assume each option controls one share of IBM stock.

Show sign of fatigue and spalling of concrete is wide-spread : You find that three of the nine concrete support columns in the basement of the main operations. Show signs of fatigue and spalling of concrete is wide-spread.

Multiculturalism and diversity impacts : PC Diversity & Multiculturalism 4.2: Demonstrate an understanding of how one's perspective toward multiculturalism and diversity impacts an organization.

How well our team operated : How well our team operated, dynamics of the team?( basically you should write that we split the parts and than we check it together

What does peace mean to you : What does Peace mean to you? Where does it come from? Are you satisfied with the amount and quality of peace in your life?

User Account

All Pages