You have written a 35-40-45 butterfly spread with 91 days to expiration. Calculate and graph the 1-day
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You have written a 35-40-45 butterfly spread with 91 days to expiration. Calculate and graph the 1-day holding period profit if delta- and gamma-hedge this position using the stock and a 40 strike call with 180 days to expiration.
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The relevant values of the spread are f 61315 227804 09710 15417 08642 205...View the full answer
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