Question
A portfolio has two options: Option 1 is long call with a vega of 0.2 and option 2 is a short put with vega 0.4.
A portfolio has two options: Option 1 is long call with a vega of 0.2 and option 2 is a short put with vega 0.4.
Option 1 is to buy 50 shares and option 2 is to sell 80 shares. The options have the same gamma. What is the position vega of the portfolio?
A.42
B.- 22
C.-42
D. 22
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Entrepreneurial Finance Venture Capital Deal Structure And Valuation
Authors: Janet Kiholm Smith, Richard L. Smith
2nd Edition
1503603210, 978-1503603219
