Question
elta and gamma hedge writing 400call options on stock ABC with X=540!As your answer,provide the number of shares to beheld rounded to the nearest integer.Here
elta and gamma hedge writing 400call options on stock ABC with X=540!As your answer,provide the number of shares to beheld rounded to the nearest integer.Here is the data:
Stock's current price:$540
Call 1Call 2
X1=540X2=$600
C1=71.85C2=$48.80
Delta1=0.67Delta2=0.45
Gamma1=0.0021 Gamma2=0.0023
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Fundamentals of Investments, Valuation and Management
Authors: Bradford Jordan, Thomas Miller, Steve Dolvin
8th edition
1259720697, 1259720691, 1260109437, 9781260109436, 978-1259720697
