Question
A portfolio of OTC options has a delta of 1,200 and a gamma of -2,500. The value of the underlying stock is $84.5. After a
A portfolio of OTC options has a delta of 1,200 and a gamma of -2,500. The value of the underlying stock is $84.5. After a short period of time, the value of the stock changes to $84.2. The new delta of the options portfolio is approximately?
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Applied Quantitative Finance
Authors: Härdle
3rd Edition
3662544857, 978-3662544853
