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A Hedge Ratio of 0

Question 6

Multiple Choice

A hedge ratio of 0.85 implies that a hedged portfolio should consist of


A) long 0.85 calls for each short stock.
B) short 0.85 calls for each long stock.
C) long 0.85 shares for each short call.
D) long 0.85 shares for each long call.
E) None of the options

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