Question
You want to replicate a long call option. Show two different combinations of other securities that you could use to replicate the call option. One
You want to replicate a long call option. Show two different combinations of other securities that you could use to replicate the call option.
One of this solutions should include only linear securities. That is securities that have no exposure to gamma.
The other solution should include a combination of linear instruments and some that have exposure to gamma.
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Fundamentals Of Multinational Finance
Authors: Michael Moffett, Arthur Stonehill, David Eiteman
6th Edition
0134472136, 978-0134472133
