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( 2 0 pt ) For two European call options, Call - I and Call - II , on a stock, you are given: 1

(20pt) For two European call options, Call-I and Call-II, on a stock, you are given:
1
Suppose that you are taking a short position on 1,000 units of Call-I. Determine the position on Call-II
and the underling stock you should take in order to hedge your position, neutralizing both delta and
gamma.
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