Suppose you enter into a put ratio spread where you buy a 45-strike put and sell two

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Suppose you enter into a put ratio spread where you buy a 45-strike put and sell two 40-strike puts, both with 91 days to expiration. Compute and graph the 1-day holding period profit if you delta- and gamma-hedge this position using the stock and a 40-strike call with 180 days to expiration. Discuss.
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Derivatives Markets

ISBN: 978-0321543080

4th edition

Authors: Rober L. Macdonald

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