Question
A portfolio of options on the EURO (EUR) has a delta of -200 and gamma of -150. A traded option with a delta of 0.8
A portfolio of options on the EURO (EUR) has a delta of -200 and gamma of -150. A traded option with a delta of 0.8 and gamma of 1.5 is available. What position in the traded option and EUR would make the portfolio both delta and gamma neutral? :
a. a long position in 100 EUR and a long position in 200 traded options
b. a long position in 100 EUR and a long position in 100 traded options
c. a long position in 120 EUR and a long position in 100 traded options
d. a long position in 200 EUR and a long position in 150 traded options
e. a short position in 200 EUR and a long position in 200 traded options
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Entrepreneurial Finance Strategy, Valuation, And Deal Structure
Authors: Janet Smith, Richard Smith, Richard Bliss
1st Edition
0804770913, 9780804770910
