Question
A portfolio of derivatives on an asset is worth $10,000 and the risk-free interest rate is 4%. The delta and gamma of the portfolio is
A portfolio of derivatives on an asset is worth $10,000 and the risk-free interest rate is 4%. The delta and gamma of the portfolio is zero. What is the theta?
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Financial Management Theory And Practice
Authors: Eugene Brigham, Michael Ehrhardt, Jerome Gessaroli, Richard Nason
3rd Canadian Edition
017658305X, 978-0176583057
