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Dear Sir
I refer to to paper of Marengo on BPP Number 23 where it requests the number of put option contracts to hedge for Arion
I cannot understand why they made a N(-d1) which changed the number on the table from a negative to a positive. Of course I understand how they did it, but by doing so they came up with a different number of 382 contracts instead of 416.It is the delta of a put option, and although I do not have the BPP kit with me because I am away from home, the original exam question (and I assume the BPP copy) specifically writes after the part (a) of the requirements to assume that the delta of a put option is
N(-d1)Is that the rule…if it is the delta of a put option it is -d1? a call option is d1 and put -d1
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