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Hi, could you please help me with a derivatives question? Q: You want to replicate a long call option. Show two different combinations of other
Hi, could you please help me with a derivatives question?
Q: You want to replicate a long call option. Show two different combinations of other securities that you could use to replicate the call option.
Requirements:
One of this solutions should include only linear securities. That is securities that have no exposure to gamma.
The other solution should include a combination of linear instruments and some that have exposure to gamma.
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