The Following Information Is Given About Options on the Stock $\sigma$

question 32

Multiple Choice

The following information is given about options on the stock of a certain company.
S₀ = 23 X = 20
r_c = 0.09 T = 0.5
$\sigma$ ² = 0.15
No dividends are expected.
Use this information to answer questions 1 through 8.
-To construct a riskless hedge,the number of puts per 100 shares purchased is: (Due to differences in rounding your calculations may be slightly different."none of the above" should be selected only if your answer is different by more than 0.01. )

• A)0.7580
• B)0.2420
• C)-0.2480
• D)-0.6628
• E)none of the above

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Definitions:

Unassertive

Characterized by a lack of confidence or forcefulness in expressing one's views or desires.

Accommodation

The process or act of adjusting or adapting one's environment to meet individual needs or preferences.

Cooperative

A business or organization owned and operated for the mutual benefit of its members, who share in its profits or benefits.

Unassertive

Characterized by a lack of confidence and a hesitancy to express one's own needs, desires, or opinions.