solution
solution.
In Problem 4, suppose that after a few weeks, the value of your stock portfolio is $2.45 million, the OEX index is 313.56, and the put delta is – 0.245. What do you need to do to get your portfolio back to a delta neutral position?
Problem 4
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Order Paper NowYou want to hedge your stock portfolio using OEX index puts. Your portfolio is worth $2.5 million and has a beta of 1.12; the current level of the OEX index is 315.55. The 325 OEX puts you have selected have a delta of – 0.223. How many of these OEX puts do you need to buy?
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