Question
For two European call options, Call-l and Call-Il on a non-dividend-paying stock, you are given: Suppose you just sold 500 units of Call-1. Using units
For two European call options, Call-l and Call-Il on a non-dividend-paying stock, you are given:
Suppose you just sold 500 units of Call-1.
Using units of Call-II and stock, you delta-hedge and gamma-hedge your position in Call-L What is the total Vega for the call options (both long and short) in your portfolio?
Greek Delta Gamma Vega Call-I Call-II 0.75 0.71 0.013 0.008 0.51 0.77
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The total Vega for the call options in the portfolio ...
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Principles of Accounting
Authors: Belverd E. Needles, Marian Powers and Susan V. Crosson
12th edition
978-1133603054, 113362698X, 9781285607047, 113360305X, 978-1133626985
