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A delta neutral portfolio: A. Does not change in value in response to changes in the price of the underlying asset. B. Does not change

A delta neutral portfolio:

A.

Does not change in value in response to changes in the price of the underlying asset.
B.

Does not change in value in response to changes in the risk-free rate.
C.

Does not change in value in response to changes in the volatility of the underlying asset.

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