9.6 Setting Up a riskless portfolio Consider the portfolio lonG A shares SHORT 1 call option Figure 9.1 becomes 22△ S=20 18∧ Portfolio is risk/ess when 224-1=18A or△=0.25 Options, Futures, and Other Derivatives, 4th edition@ 2000 by John C. Hull Tang Yincai, Shanghai Normal UniversityOptions, Futures, and Other Derivatives, 4th edition © 2000 by John C. Hull Tang Yincai, Shanghai Normal University 9.6 • Consider the Portfolio: LONG D shares SHORT 1 call option • Figure 9.1 becomes • Portfolio is riskless when 22D – 1 = 18D or D = 0.25 22D – 1 18D Setting Up a Riskless Portfolio S0 = 20