What is the hedge ratio, You have a 91 day (=0.25 year)

What is the hedge ratio

Reference no: EM13265820

You have a 91 day (=0.25 year) $100 call option on Discovery Cafe. You find that Discovery Cafe is currently trading at $90.00, pays no dividends and, over the past three years, has exhibited a daily annualized price volatility of 40%. Interest rates are currently at 5%.

(1)What is the hedge ratio? how?
(2)What is the probability that the call will expire in the money? how?

Reference no: EM13265820

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What is the hedge ratio : You have a 91 day (=0.25 year) $100 call option on Discovery Cafe. You find that Discovery Cafe is currently trading at $90.00, pays no dividends and, over the past three years, has exhibited a daily annualized price volatility of 40%. Interest ra..

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