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Problem 5. (10 points) Explain, intuitively, why the delta-hedging of European ATM options near expiry is difficult. Then, assume the Black-Scholes model and prove (analytically)

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Problem 5. (10 points) Explain, intuitively, why the delta-hedging of European ATM options near expiry is difficult. Then, assume the Black-Scholes model and prove (analytically) what happens to the Gamma of a European ATM option as the time to expiry goes to zero

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