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Business, 18.12.2019 19:31 samiiegarciia

The current stock price of alcoa is $100, and the stock does not pay dividends. the instantaneous risk-free rate of return is 3%. the instantaneous standard deviation of alcoco's stock is 40%. you want to purchase a put option on this stock with an exercise price of $105 and an expiration date 30 days from now. according to the black-scholes opm, you should hold shares of stock per 100 put options to hedge your risk.

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The current stock price of alcoa is $100, and the stock does not pay dividends. the instantaneous ri...
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