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Example: Delta-Gamma Hedge Assume S=K=$100, r=8%, =30%, T=180 days, and K2=$110 Based on BSOPM, we can obtain the following info: Variable Price Call (K
Example: Delta-Gamma Hedge Assume S=K=$100, r=8%, =30%, T=180 days, and K2=$110 Based on BSOPM, we can obtain the following info: Variable Price Call (K =100) $10.30 Delta Gamma 0.6151 0.0181 Call (K=110) Stock $6.06 $100 0.4365 1 0.0187 0 If the trader decides to sell 200 calls (K =100) and wants to construct a delta-gamma-hedged portfolio, how many shares of stocks (S), and number of calls (K2=110) need to be purchased?
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