NO.PZ2020021205000055
问题如下：
A stock price is currently 40.It is known that it will be 42 or 38 at the end of a month.The risk-free rate is 4% per annum with continuous compounding. there is a one-month call option with a strike price of 39,what position should be taken in the stock to hedge a short position in the option?
解释：
The position is long 0.75 of a share. This is because a portfolio of 0.75 shares and short one option is worth 28.5 for both outcomes.
我计算c1+。为负三 C1- is 1
