What is meant by the gamma of an option position? What are the risks in the situation

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What is meant by the gamma of an option position? What are the risks in the situation where the gamma of a position is large and negative and the delta is zero?

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Options Futures and Other Derivatives

ISBN: 978-0134472089

10th edition

Authors: John C. Hull

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Question Posted: Feb 12, 2018 12:19 PM

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What is meant by the gamma of an option position? What are the risks in the situation

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The gamma of an option position is the rate of change of the delta of the position with respect ...View the full answer

Options Futures and Other Derivatives

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