The question asks "how much do you need to borrow at time 0 in order to build the hedging strategy?"
I assume that the question asks for Delta*S(0) but there's other students think it asks for V (which is Delta*S(0) - C).
Am I right or wrong??
(apology for using english, cannot type Chinese at uni)作者: 星空飞扬 时间: 2010-10-13 01:09:53
that ASK YOU HOW MUCH YOU NEED TO BORROW, YOU ONLY HAVE C, BUT YOU NEED DETLTA TIMES C, SO YOU need to mins C