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Which of the following statements about gamma is false? a) A portfolio's gamma measures the rate of change of the portfolio's delta with respect to
Which of the following statements about gamma is false?
a) A portfolio's gamma measures the rate of change of the portfolio's delta with respect to the price of the underlying asset
b) The gamma of a portfolio can be modified by adding a position in the traded optionto the portfolio
c) The gamma of a portfolio can be modified by adding stock to the portfolio
d) It is risky not to change a delta-neutral rather frequently if gamma is large
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