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CFA Level I Valuing a Derivative Using a One-Period Binomial Model question

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Derivatives

Valuing a Derivative Using a One-Period Binomial Model

A stock trades at USD 100.00 and in one period will move to either USD 115.00 or USD 90.00. A one-period European call option on the stock has an exercise price of USD 100.00. The hedge ratio, the number of shares of stock to hold for each call option written so that the hedged portfolio is riskless, is closest to:

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