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( 2 0 pt ) For two European call options, Call - I and Call - II , on a stock, you are given: 1
pt For two European call options, CallI and CallII on a stock, you are given:
Suppose that you are taking a short position on units of CallI. Determine the position on CallII
and the underling stock you should take in order to hedge your position, neutralizing both delta and
gamma.
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