A traded option is available with a delta of 0.6, a gamma of 1.5, and a vega of 0.8. a. (5 points) What position in
A traded option is available with a delta of 0.6, a gamma of 1.5, and a vega of 0.8.
a. (5 points) What position in the traded option and options on IBM stock would make the portfolio gamma zero?
b. (5 points) What is the gamma of the portfolio of options on IBM stock and 1000 shares of IBM?
c. (5 points) What is the vega of the portfolio of options on IBM stock and 1000 shares of IBM?
d. (5 points) What is the delta of the portfolio of options on IBM stock and 1000 shares of IBM?
5. (20 points) Greek Letters A financial institution has the following portfolio of over-the-counter options on IBM stock: Type Position Vega of option Call Call Put Call 06 Delta of option Gamma of option 0.5 2.2 0.8 -0.4 1.3 0.7 1.8 -1,000 -500 -2,000 -500 1.8 02 0.7 1.4 A traded option is available with a delta of 0.6, a gamma of 1.5, and a vega of 0.8Step by Step Solution
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Authors: Gianni Nicolini, Brenda J. Cude
1st Edition
0367457776, 978-0367457778
