Question
A trader's portfolio is delta neutral and has a gamma of -4,250. The delta and gamma of a particular traded call option are 0.62 and
A trader's portfolio is delta neutral and has a gamma of -4,250. The delta and gamma of
a particular traded call option are 0.62 and 1.52, respectively. The trader wants to make
the portfolio gamma neutral as well as delta neutral. What position should the trader take.
Explain to the trader what protection delta and gamma neutrality can provide to his
portfolio.
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Public Finance A Contemporary Application of Theory to Policy
Authors: David N Hyman
11th edition
9781305474253, 1285173953, 1305474252, 978-1285173955
