Ibm stock currently sells for 92 dollars per share over 3, Ask an Expert

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IBM stock currently sells for 92 dollars per share. Over 3 months the price will either go up by 9.5 percent or down by -6.0 percent. The risk-free rate of interest is 3.5 percent continuously compounded.

A call option with strike price 89 and maturity of 3 months has a delta of 0.82328.

If you are short one call option, what is the future value in 3 months of a delta-neutral portfolio?

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Financial Management, Finance

Category:- Financial Management
Reference No.:- M92763722

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