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Two calls have the same delta but call A has a higher gamma than call B. For the same price increase in the underlying stock,
Two calls have the same delta but call A has a higher gamma than call B. For the same price increase in the underlying stock, the delta hedge adjustment in the underlying stock position for each short call A, compared to that for each short call B, requires to
A. | purchase more shares. | |
B. | purchase less shares. | |
C. | sell a larger number of shares. | |
D. | sell a smaller number of shares. |
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