INVESTMENTS-CONNECT PLUS ACCESS
INVESTMENTS-CONNECT PLUS ACCESS
11th Edition
ISBN: 2810022611546
Author: Bodie
Publisher: MCG
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Chapter 21, Problem 43PS
Summary Introduction

To calculate: The put option delta of the option portfolio using goldman’s estimate of volatility.

Introduction:

Put option delta: This ranges from -1 to 0 due to inverse relationship of underlying security and the put option. Whenever there is an increase in the underlying security, the value of a put option decreases.

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