For two European call options, Call-I and Call-II, on a stock, you are given: Suppose you just

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For two European call options, Call-I and Call-II, on a stock, you are given:

Greek Delta Gamma Vega Call-I 0.5825 0.0651 0.0781 Call-II 0.7773 0.0746 0.0596

Suppose you just sold 1,000 units of Call-I. You buy or sell appropriate units of the stock and Call-II in order to both delta-hedge and vega-hedge your position in Call-I.

Calculate the gamma of your hedged portfolio.

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Question Posted: Nov 22, 2023 08:17 AM

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For two European call options, Call-I and Call-II, on a stock, you are given: Suppose you just

Question:

Greek Delta Gamma Vega Call-I 0.5825 0.0651 0.0781 Call-II 0.7773 0.0746 0.0596

Step by Step Answer:

To calculate the gamma of your hedged portfolio we need to consider the gamma of both the stock and ...View the full answer

Derivative Pricing

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