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A trader decides to protect her portfolio with a put option. The portfolio is worth $675 million and the required put option has a strike price of $650 million with a maturity of 14 weeks. The volatility of the portfolio is 28% and the dividend yield on the portfolio is 2% per annum. The risk-free rate is 4%. Because this option is not available on any exchange, the trader decides to create a synthetic option by maintaining a position in the underlying portfolio with the required delta. What percentage of the original portfolio should be sold and invested at the risk-free rate:
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A trader decides to protect her portfolio with a put option. The portfolio is worth $675 million and...
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