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elf_fu elf_fu
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7 years ago
Assume S = $33.00, σ = 0.32, r = 0.06, div = 0.01. You short 100 $35 strike puts at 68 days until expiration. Under a delta hedge position, what is your overnight profit/loss if the stock rises to $34.50? Assume no cost to short stock.
A) $8.30 gain
B) $8.30 loss
C) $9.56 gain
D) $9.56 loss
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Derivatives Markets

Derivatives Markets


Edition: 3rd
Author:
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phuongha2892phuongha2892
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7 years ago
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#2
3 years ago
thanks
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