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Assume S = $40, r = 0 .08, Sigma = 0.3, Div. yield rate = 0. You own one $45 strike call with 180 days

Assume S = $40, r = 0 .08, Sigma = 0.3, Div. yield rate = 0.

You own one $45 strike call with 180 days to expiration. You decide to delta-gamma-hedge this position using a $40 strike call with 180 days to expiration. Compute and graph the 1-day holding profit.

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