What is the hedge portfolio for an underpriced call

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Reference no: EM131945820

Question: Binomial Option Pricing Model

S = Asset Price = 88

X = Exercise Price= 90

u = The factor by which the price rises =.08

d = The factor by which the price falls = -.06

r = Rate = .0275

What is the hedge portfolio for an underpriced one period call? Show all work

Reference no: EM131945820

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