A stock trades at 20 its annual volatility is 18 the, Ask an Expert

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A stock trades at $20. Its annual volatility is 18%. The risk-free rate is 3%. Calculate the price of a European call option and put option with strike K = 20 and T equal to 4 months.

1. Calculate the ? of a portfolio consisting of 2 long calls and 1 short put from the previous problem. How many shares of the stock would you short in order to build a new portfolio that is delta-neutral?

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Financial Management, Finance

Category:- Financial Management
Reference No.:- M92756621

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