Question
You have a delta neutral portfolio which has a gamma of -5000. The delta of a tradeable put option is -0.30 and its gamma is
You have a delta neutral portfolio which has a gamma of -5000. The delta of a tradeable put option is -0.30 and its gamma is 0.25. How do you make the portfolio both gamma and delta neutral?
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Financial Management In The Sport Industry
Authors: Matthew T. Brown, Daniel A. Rascher, Mark S. Nagel, Chad D. McEvoy
3rd Edition
0367321211, 978-0367321215
