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elta and gamma hedge writing 400 call options on stock ABC with X=540! As your answer, provide the number of shares to be held rounded
elta and gamma hedge writing 400 call options on stock ABC with X=540! As your answer, provide the number of shares to be held rounded to the nearest integer. Here is the data:
Stock's current price: $540
Call 1 Call 2
X1=540 X2=$600
C1=71.85 C2=$48.80
Delta1=0.67 Delta2=0.45
Gamma1=0.0021 Gamma2=0.0023
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