Consider the following data on a stock currently valued at S=$40. Call 2 46 X d1...
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Consider the following data on a stock currently valued at S=$40. Call 2 46 X d1 N(D1) C Call 1 36 0.5 0.06 0.5 0.70 10.86 7.07 Gamma 0.015 Assume that you are able to buy or sell unlimited shares of the underlying asset as well as of the options. To delta and gamma hedge a position of 1000 written Call 1 options, you will need to get a position of Call 2. Indicate sales by a negative sign, but do NOT include a + for buys. Round numbers to the nearest integer. G 0.019 shares in Consider the following data on a stock currently valued at S=$40. Call 2 46 X d1 N(D1) C Call 1 36 0.5 0.06 0.5 0.70 10.86 7.07 Gamma 0.015 Assume that you are able to buy or sell unlimited shares of the underlying asset as well as of the options. To delta and gamma hedge a position of 1000 written Call 1 options, you will need to get a position of Call 2. Indicate sales by a negative sign, but do NOT include a + for buys. Round numbers to the nearest integer. G 0.019 shares in
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To hedge a position using options involves offsetting potential losses in one position by taking another position Specifically to delta and gamma hedg... View the full answer
Related Book For
An Introduction To Statistical Methods And Data Analysis
ISBN: 9781305465527
7th Edition
Authors: R. Lyman Ott, Micheal T. Longnecker
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