A Hedge Ratio of 0

question 41

Multiple Choice

A hedge ratio of 0.70 implies that a hedged portfolio should consist of

• A) long 0.70 calls for each short stock.
• B) short 0.70 calls for each long stock.
• C) long 0.70 shares for each short call.
• D) long 0.70 shares for each long call.
• E) none of these.

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Definitions:

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