Question
consider again the situation in problem 8.17. Suppose that a second traded option with a delta of .1, a gamma of .5 and a vega
consider again the situation in problem 8.17. Suppose that a second traded option with a delta of .1, a gamma of .5 and a vega of .6 is available. How could the portfolio be made delta, gamma, and vega neutrtral?
Problem 8.17
| Type | Position | Delta of option | Gamma of option | Vega of Option |
| Call | -1,000 | .50 | 2.2 | 1.8 |
| Call | -500 | .80 | .6 | .2 |
| Put | -2,000 | -.40 | 1.3 | .7 |
| Call | -500 | .70 | 1.8 | 1.4 |
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Commodity Option Pricing A Practitioner's Guide
Authors: Iain J. Clark
1st Edition
1119944511, 978-1119944515
