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Currently, a non-dividend-paying stock is worth $40. Over the next 9 months, it is expected that the stock price will either be $50 or $30. If the investor writes a call option with a strike price of $43, what should be the delta to create a riskless portfolio?

Short 0.95 shares for each call option sold

Short 0.4 shares for each call option sold

Buy 0.35 shares for each call option sold

Buy 0.6 shares for each call option sold

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Financial Management, Finance

Category:- Financial Management
Reference No.:- M92353147

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