How many shares of stock would you have to buy

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Reference no: EM131925064

IBM stock currently sells for 92 dollars per share. The implied volatility equals 42.5 percent. The risk-free rate of interest is 3.5 percent continuously compounded.

If you shorted an option on 100 shares of IBM stock with strike price 89 and maturity of 3 months, how many shares of stock would you have to buy (sell) to create a delta-neutral hedge?

Reference no: EM131925064

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