The current stock price is $10 per share. The strike price i…
The current stock price is $10 per share. The strike price is $9 per share. The option is written on 100 shares. The one-period risk-free rate is 0%. In each of the next 2 periods the stock can rise by 10% or fall by 10% You sell one call option on 100 shares and buy the appropriate number of shares at time zero to start a delta-hedged covered call program. After one period the stock falls by 10% from $10 to $9 per share. What actions should you take to keep the covered call program alive?
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