Long position with delta shares of the underlying asset

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A call option is written with a strike price $40 for the purchase of 100 shares of a stock. Current stock price is $40, volatility on an annual basis is 30% (252 business days) and r=8% on an annual basis. Maturity is set at 91 days. Delta hedge the option on Day 0 and Day1. Assume that the actual stock price on Day 1 is $40.5 and on Day 2 is $39.25. Calculate the profit of a DAY 1 with one long position with delta shares of the underlying asset and one short position on the stock call option after hedging on Day. What is the lim t->T delta(t) for this option?

Reference no: EM132051289

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