Toronto Skaters' stock is now worth $100.In one month it can either be $80 or $120.Given that the monthly risk-free rate is 2%,how many calls does the investor need to sell to hedge a long position in ABC stock? What is the corresponding value of the call? (assume strike price = $100)
A) 0.5; $43.14
B) 1; $21.57
C) 2; $10.78
D) 2; $43.14
Correct Answer:
Verified
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