Essentials Of Investments
11th Edition
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Chapter1: Investments: Background And Issues
Section: Chapter Questions
Problem 1PS
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Question
Futures price of a commodity is currently trading at 100. By delivery date, futures price can either rise to 140 or drop to 70. The put option has K =90. To create a hedge portfolio with one put and some futures, we need to ______ futures contract for one put option we long.
- A. short .25
- B. short .35
- C. short .28
- D. long .35
- E. long .28
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