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Question 6 Help 6. (a) What is a delta-neutral portfolio? (b) Suppose =0.7 for a call option on a stock with strike K=50 and that

Question 6 Help

6. (a) What is a delta-neutral portfolio? (b) Suppose =0.7 for a call option on a stock with strike K=50 and that =0.65 for another call option on the same stock with strike K=52. If a market maker is long 1,000 calls with strike K=50 and short 2,000 calls with strike K=52, how could they achieve a delta-neutral position

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