Question
Which of the following could NOT be a delta-neutral portfolio? A. A short position in call options plus a short position in the underlying stock.
Which of the following could NOT be a delta-neutral portfolio?
| A. | A short position in call options plus a short position in the underlying stock. | |
| B. | A long position in a put option and a long position in a call option. | |
| C. | A long position in call options plus a short position in the underlying stock. | |
| D. | A long position in put options and a long position in the underlying stock. |
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Elements Of Financial Risk Management
Authors: Peter Christoffersen
2nd Edition
0128102357, 9780128102350
