OK Ladies and Gentlemen,We are finally there.Here is the solution to the problem
This is the solution to the problem in my book page 116,
A portoilio of $200 Million Growth stocks, with beta of 1.65,
where portolio manager, purchased october put for $47.70, financing
the purchase with selling calls, october calls, for $50.10.
I want you to pay attention to the unhedged column.
I defined my loss and gain in s&p, then subtracted this loss or added the gain to my previous price, producing my unhedged pay-off.
I want you now to replicate the problem I gave you, with all the
information that you have. You have a nice day. Dr H