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What would be the dollar change in the value

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A portfolio consists of 1,000 shares of stock and 500 short calls on that stock. The current stock price is $92.20. The call option has a maturity of one year, with an exercise price of $100 and a standard deviation of 25%. The risk-free rate is 5%. The call option price is found by using the Black-Merton-Scholes model. What would be the dollar change in the value of the portfolio be in response to a one-dollar increase in the stock price?

Reference no: EM133060178

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