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4) Delta Gamma Vega Theta Portfolio 1,000 20,000 30,000 0 Option A -0.5 3 0.5 -1 Option B 0.8 2 0.6 ? 4.1) Make the
4)
| Delta | Gamma | Vega | Theta | |
| Portfolio | 1,000 | 20,000 | 30,000 | 0 |
| Option A | -0.5 | 3 | 0.5 | -1 |
| Option B | 0.8 | 2 | 0.6 | ? |
4.1) Make the portfolio to be Delta, Gamma, Vega neutral
4.2) If stock price is 3$ in 10 days what is option A price change
Note: we dont use theta
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Gapenskis Cases In Healthcare Finance
Authors: George H. Pink
6th Edition
1567939651, 978-1567939651
