Question
A portfolio is Delta neutral and has a Gamma of -5000 and a vega of -8000. Following 2 options are available. Option1 Delta 0.6 Gamma
A portfolio is Delta neutral and has a Gamma of -5000 and a vega of -8000. Following 2 options are available.
Option1 Delta 0.6 Gamma 0.5 Vega 2.0
Option2 Delta 0.5 Gamma 0.8 Vega 1.2
If w1 and w2 are the number of options required to make the portfolio Gamma and Vega neutral and N is number of shares to make it Delta neutral too , calculate w1,w2 and N.
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The Risk Modeling Evaluation Handbook Rethinking Financial Risk Management Methodologies In The Global Capital Markets
Authors: Greg Gregoriou, Christian Hoppe, Carsten Wehn
1st Edition
0071663703, 978-0071663700
