Question
Assume the delta of a call on a stock is 0.6, the gamma of the call is 0.2 and you have bought 100 such calls.
Assume the delta of a call on a stock is 0.6, the gamma of the call is 0.2 and you have bought 100
such calls. Suppose the gamma on a put on the same stock is 0.2. The delta of the put is -0.25.
How can you construct a portfolio containing these calls to have zero delta and zero gamma?
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Business Forecasting
Authors: John E. Hanke, Dean Wichern
9th edition
132301202, 978-0132301206
