Finans - hedging!

[Jaghi]

Heisann godtfolk, sliter med en oppgave til innlevering i finans.

 

Spørsmålet lyder som følger:

 

A portfolio is worth 90 million. The manager wants to protect against market moves below 87 million over the next 6 months. The risk free rate is 9% per annum, the dividend yield is zero, and the volatility of the portfolio is 25% per annum. The S&P index stands at 900, and the portfolio mimics this index. Instead of buying put options with a strike price of 87 million, the manager decides to create a similar hedge synthetically. How does he do that?