SFA Exam Russia
Financial Analyst Certificate Examination (Сертификат финансового аналитика, СФА)
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Exam overviewPractice session
In a one-period binomial model, a share will be worth either 120 RUB or 80 RUB at expiry. A call with strike 100 RUB then pays either 20 RUB or zero. How many shares per written call produce a delta hedge over this one period?
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