How many shares do you need to buy

Reference no: EM132642078

Question - Let's say you are long 1000 ATM put options in a one-period binomial tree. The underlying asset, Silver, is trading for $3,126/unit currently and you expect that over the next period it will either go up by 10% or down by 10%. The risk free rate is 3%. How many shares do you need to buy to create a risk free portfolio? Provide your answer rounded to the nearest integer.

Reference no: EM132642078

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