How many stocks are needed for delta hedging

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Reference no: EM132020084

Suppose you write 1,000 XYZ call options w/ exercise price of $40 expiring in 5 months. Current stock price is $50 and its volatility is 40%.

How many stocks are needed for Delta hedging? Assume risk-free rate is 10%.

The response must be typed, single spaced, must be in times new roman font (size 12) and must follow the APA format.

Reference no: EM132020084

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