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Your portfolio has a current gamma of -2,000 and is currently delta-neutral. There exists a call option with a delta of 0.5 and a
Your portfolio has a current gamma of -2,000 and is currently delta-neutral. There exists a call option with a delta of 0.5 and a gamma of 5 (per share of the stock). If each option is on one unit (share) of the stock and if you buy the right number of call options to make your portfolio gamma-neutral, what is your new portfolio delta now?
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International Financial Management
Authors: Geert Bekaert, Robert J. Hodrick
2nd edition
013299755X, 132162768, 9780132997553, 978-0132162760
