Question
A financial institution has the following portfolio of over-the-counter options on sterling. A traded option is available with a delta of 0.6, a gamma of
A financial institution has the following portfolio of over-the-counter options on sterling. A traded option is available with a delta of 0.6, a gamma of 1.5, and a vega of 0.8. A second traded option with a delta of 0.1, a gamma of 0.5, and a vega of 0.6 is available.
2. What is the gamma of the portfolio?
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Personal Finance
Authors: Jack Kapoor, Les Dlabay, Robert Hughes, Melissa Hart
14th Edition
1264101597, 9781264101597
