Consider a 6-month european put on goog with a strike price, Ask an Expert

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Consider a 6-month European put on GOOG with a strike price of $650. GOOG spot price is $725 and its volatility is 25%. The stock is not expected to pay any dividend. The risk-free rate is 4%.

(a) Use Black-Scholes-Merton (BSM) model to price this put option.

(b) What is the put delta? If an investor with a short position decides to delta hedge, what would the net cash flow be?

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Financial Management, Finance

Category:- Financial Management
Reference No.:- M91601761

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