Explanation:
B is correct. In order to make the position delta neutral, we first need to compute the delta. Given the simple one-step binomial tree model, we can compute the delta for the long position on one call option.
Q-61. In order to make the position delta neutral, we first need to compute the delta. Given the simple one-step binomial tree model, we can compute the delta for the long position on one call option.
A
B
B is correct
No comments yet.