Multiple Choice
A portfolio consists of 100 shares of stock and 1500 calls on that stock. If the hedge ratio for the call is 0.7, what would be the dollar change in the value of the portfolio in response to a $1 decline in the stock price?
A) +$700
B) +$500
C) −$1,150
D) −$520
Correct Answer:

Verified
Correct Answer:
Verified
Related Questions
Q16: Before expiration, the time value of an
Q17: The price of a stock call option
Q18: Relative to European puts, otherwise identical American
Q19: The Black-Scholes formula assumes thatI) the risk-free
Q20: Portfolio A consists of 150 shares of
Q22: The intrinsic value of an at-the-money put
Q23: If the hedge ratio for a stock
Q24: Delta is defined as<br>A) the change in
Q25: All the inputs in the Black-Scholes option
Q26: A put option was purchased two months