What is the portfolio delta

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Reference no: EM131458202

Question: Special Motors Corporation's stock price S is $59, the strike price K is $60, the maturity T is forty-four days, the implied volatility S is 30 percent per year, and the risk-free interest rate r is 3.3 percent per year.

a. Consider a portfolio consisting of 50 shares of the stock, long 10 calls and short 30 puts. What is the portfolio's delta? (Use delta values from question₎

V = c₁ + n₁S + n₂c₂

ΔV = Δc₁ + n₁ΔS + n₂Δc₂

Reference no: EM131458202

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