You are managing a pension fund with a value of 380 million, Ask an Expert

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You are managing a pension fund with a value of $380 million and a beta of 1.70. You are concerned about a market decline and wish to hedge the portfolio. You have decided to use SPX calls. How many contracts do you need if the delta of the call option is .68 and the S&P Index is currently at 1,250? (Negative values should be indicated by a minus sign.)

Number of option contracts

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Financial Management, Finance

Category:- Financial Management
Reference No.:- M92758227

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