Question : Current share price is $1.50 Call option exercise price is $1.80 in 3...
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Current share price is $1.50 Call option exercise price is $1.80 in 3 months Risk free interest rate is 10% p.a. Standard deviation of rate of return on share is 40% Mary owns 1,000 shares. Devise a delta hedge to protect against changes in the share price.
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