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Using a Taylor Series Expansion of the Black-Scholes-Merton Model,one Can

Question 8

Multiple Choice

Using a Taylor series expansion of the Black-Scholes-Merton model,one can hedge the following risks in an option and stock portfolio:


A) volatility risk
B) small and large stock price risk
C) small stock price risk and interest rate risk
D) small stock price risk and volatility risk
E) small and large stock price risk and volatility risk

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