Question
A portfolio of derivatives (calls) on a stock has delta of 2400 and a gamma of -100. a)What position in the stock would create a
A portfolio of derivatives (calls) on a stock has delta of 2400 and a gamma of -100.
a)What position in the stock would create a delta neutral portfolio?
b)A call option on the stock with a delta of 0.6 and a gamma of 0.04 can be traded.What position in the option and the stock creates a portfolio that is both gamma and delta neutral?
c)What is the main difference between replicating and hedging a portfolio?
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The Changing Geography Of Banking And Finance
Authors: Pietro Alessandrini ,Michele Fratianni ,Alberto Zazzaro
1st Edition
1441947205, 978-1441947208
