FINANCE 4419 Suppose that you buy 10 put option contracts

| June 14, 2018

Suppose that you buy 10 put option contracts(each contract covers 100 shares and so 10 contracts are a total of 1000 shares). To hedge your option position, you use dynamic hedging strategy and rebalance every week. Use the following information.Week 1’s N(d1) =0.36 Week 2’s N(d1) =0.24 Where N(d1) is the cumulative distribution function for a standard normal distribution. How many additional shares should be bought or sold during Week 2?

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