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IBM stock currently sells for 64 dollars per share. The implied volatility equals 40.0. The risk-free rate of interest is 5.5 percent continuously compounded. If you owned a 100 shares of IBM stock with strike price 69 and maturity 9 months, how many call options would you have to buy (sell) to create a delta-neutral hedge? Assume each option controls one share of IBM stock.

a. 188.70

b. 7.5132

c. 1331.0

d. 52.995

IBM stock currently sells for 64 dollars per share. The implied volatility equals 40.0. The risk-free rate of interest is 5.5 percent continuously compounded. What is the value of a call option with strike price 69 and maturity 9 months?

a. 7.8894

b. 8.9953

c. 12.940

d. 10.101

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Financial Management, Finance

Category:- Financial Management
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