The hedge ratio of an at-the-money call option on IBM is 0.36. The hedge ratio of an at-the-money put option is -0.64. What is the hedge ratio of an at-the-money straddle position on IBM? (Negative answer should be indicated by a minus sign. Round your answe to 2 decimal places.) Hedge ratio

The hedge ratio of an at-the-money call option on IBM is 0.36. The hedge ratio of an at-the-money put option is -0.64. What is the hedge ratio of an at-the-money straddle position on IBM? (Negative answer should be indicated by a minus sign. Round your answe to 2 decimal places.) Hedge ratio

Financial Management: Theory & Practice

16th Edition

ISBN:9781337909730

Author:Brigham

Publisher:Brigham

Chapter8: Financial Options And Applications In Corporate Finance

Section: Chapter Questions

Problem 5MC: In 1973, Fischer Black and Myron Scholes developed the Black-Scholes option pricing model (OPM). (1)...

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Question

The hedge ratio of an at-the-money call option on IBM is 0.36. The hedge ratio of an at-the-money put option is -0.64. What is the
hedge ratio of an at-the-money straddle position on IBM? (Negative answer should be indicated by a minus sign. Round your answe
to 2 decimal places.)
Hedge ratio

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