The price today of xyz is 120 the interest rate per period, Ask an Expert

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The price today of XYZ is 120. The interest rate per period is 0.8%, the standard deviation on XYZ per period is 5%. You write 1200 call options on XYZ with a strike price right at 125 and an expiration time of 2 periods. Because you took the risk, you were able to gain a 10 percent premium over the Black-Sholes price when writing the options. In the following 2 weeks, the price of XYZ is 123 and 126. How much money did you gain or lose by delta hedging?

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Financial Management, Finance

Category:- Financial Management
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