Dayo is long a bear spread with strike prices 9.00 and 19.00. The ons expire in 12 months, the spot price is $12.50, the stock volatility is 0%, the risk free interest rate is 5.75% and the stock dividend rate is . Dayo delta hedges the position initially and then doesn't adjust the a hedge. One month later the stock price is still the same. How much s delta change? 0.02407 0.02721 0.02093 0.01988 It depends on whether she used put options or call options for the initial sition.

Dayo is long a bear spread with strike prices 9.00 and 19.00. The ons expire in 12 months, the spot price is $12.50, the stock volatility is 0%, the risk free interest rate is 5.75% and the stock dividend rate is . Dayo delta hedges the position initially and then doesn't adjust the a hedge. One month later the stock price is still the same. How much s delta change? 0.02407 0.02721 0.02093 0.01988 It depends on whether she used put options or call options for the initial sition.

Financial Management: Theory & Practice

16th Edition

ISBN:9781337909730

Author:Brigham

Publisher:Brigham

Chapter7: Corporate Valuation And Stock Valuation

Section: Chapter Questions

Problem 16P: Crisp Cookware’s common stock is expected to pay a dividend of $3 a share at the end of this year...

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