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IBM stock currently sells for 92 dollars per share. The implied volatility equals 42.5 percent. The risk-free rate of interest is 3.5 percent continuously compounded.

If you owned a 100 shares of IBM stock with strike price 89 and maturity of 3 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.

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Financial Management, Finance

Category:- Financial Management
Reference No.:- M92763674

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