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Business, 18.05.2021 19:20 lmh40

The risk-free rate is 3%. MCD currently prices at $25. The Delta of a 1-year at-the-money European call on MCD is 0.5. John has a portfolio made of the following: (1) One bond maturing in 1 year paying $1000. (2) Three 1-year at-the-money European MCD calls. (3) Two 1-year at-the-money European MCD puts. How many shares of MCD should John long (or short) to make his portfolio delta-neutral

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The risk-free rate is 3%. MCD currently prices at $25. The Delta of a 1-year at-the-money European c...
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