Delta of long forward contract on one share of the stock

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Reference no: EM131921780

The price of a non-dividend-paying stock is $49. Consider European call and put options underlying the stock with a strike price of $50. The risk-free rate is 6% and the volatility of the stock is 25%. Both options expire in 9 months.

a) If you have written a European call option, what position should you take to make the portfolio delta-neutral?

b) If you have written a European put option, what position should you take to make the portfolio delta-neutral?

c) Find the delta of a long forward contract on one share of the stock.

Reference no: EM131921780

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