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Business, 05.05.2020 06:31 Acemirisa

The current price of a non-dividend-paying stock is $60. Over the next six months it is expected to rise to $70 or fall to $50. Assume the risk-free rate is 5%. An investor sells a call option with a strike price of $63 per share. What is the value of the option today? How would the investor hedge the call option position? Assume that the option is written on 100 shares of stock.

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The current price of a non-dividend-paying stock is $60. Over the next six months it is expected to...
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