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A trader decides to protect her portfolio with a put option. The portfolio is worth $150 million and the required put option has a strike price of $145 million with a maturity of 24 weeks. The volatility of the portfolio is 15% and the dividend yield on the portfolio is 3% per annum. The risk-free rate is 4%. Because the option is not available on exchanges, the trader decides to create an option by maintaining a position in the underlying portfolio with the required delta. What percentage of the original portfolio should be sold and invested at the risk-free rate:
a. Initially at time zero? (sell 32.9%)
b. After one week, when value is $145 million? (sell an additional 12.7%)
c. After two weeks when value is $148 million? (buy back 7.99%)
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