问题如下:
A stock price is currently 40. At the end of six months it will be either 36 or 44. The risk-free rate is 5% per annum with continuous compounding.there is a six month European put option with a strike price of 40,what position should be taken in the stock to hedge a long position in the option?
解释:
The position is long 0.5 shares. This is because 0.5 shares plus the long put option is worth 22 for both outcomes.
老师你好,我按照李老师的讲法算出来是short 0.5 stock 加一个short 1 put option,和答案刚好相反的?