Under what circumstances is it possible to make a European option on a stock index both gamma

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Under what circumstances is it possible to make a European option on a stock index both gamma neutral and vega neutral by adding a position in one other European option?

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Fundamentals of Futures and Options Markets

ISBN: 978-0132993340

8th edition

Authors: John C. Hull

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Question Posted: Jan 20, 2016 08:59 AM

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Under what circumstances is it possible to make a European option on a stock index both gamma

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Assume that are the parameters for the option held and are the para...View the full answer

Fundamentals of Futures and Options Markets

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