Business, 30.06.2021 04:40 brandiwingard

The current stock price of Alcoco is $40, and the stock does not pay dividends. The instantaneous risk-free rate of return is 7%. The instantaneous standard deviation of Alcoco's stock is 25%. You want to purchase a put option on this stock with an exercise price of $45 and an expiration date 30 days from now. According to the Black-Scholes OPM, you should hold shares of stock per 100 put options to hedge your risk. Assume 365 days in a year a) 59
b) 99
c) 55
d) 94

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The current stock price of Alcoco is $40, and the stock does not pay dividends. The instantaneous ri...