How much money did you gain or lose by delta hedging

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Reference no: EM131928861

The price today of XYZ is 120. The interest rate per period is 0.8%, the standard deviation on XYZ per period is 5%. You write 1200 call options on XYZ with a strike price right at 125 and an expiration time of 2 periods. Because you took the risk, you were able to gain a 10 percent premium over the Black-Sholes price when writing the options. In the following 2 weeks, the price of XYZ is 123 and 126. How much money did you gain or lose by delta hedging?

Reference no: EM131928861

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