# In the previous problem suppose that another option with the same maturity is available with the Black-Scholes price given by the function c(t; s) = s3e6(Tt) . If you still hold 10 units of the first option, how many options of the second type and how many shares of the stock would you buy or sell to make a portfolio

In the previous problem suppose that another option with the same maturity is available with the Black-Scholes price given by the function

c(t; s) = s3e6(T−t) .

If you still hold 10 units of the first option, how many options of the second type and how many shares of the stock would you buy or sell to make a portfolio both delta neutral and gamma-neutral (gamma equal to zero)?

Maturity

Maturity is the date on which the life of a transaction or financial instrument ends, after which it must either be renewed, or it will cease to exist. The term is commonly used for deposits, foreign exchange spot, and forward transactions, interest... Portfolio

A portfolio is a grouping of financial assets such as stocks, bonds, commodities, currencies and cash equivalents, as well as their fund counterparts, including mutual, exchange-traded and closed funds. A portfolio can also consist of non-publicly...

c(t; s) = s3e6(T−t) .

If you still hold 10 units of the first option, how many options of the second type and how many shares of the stock would you buy or sell to make a portfolio both delta neutral and gamma-neutral (gamma equal to zero)?

Maturity

Maturity is the date on which the life of a transaction or financial instrument ends, after which it must either be renewed, or it will cease to exist. The term is commonly used for deposits, foreign exchange spot, and forward transactions, interest... Portfolio

A portfolio is a grouping of financial assets such as stocks, bonds, commodities, currencies and cash equivalents, as well as their fund counterparts, including mutual, exchange-traded and closed funds. A portfolio can also consist of non-publicly...

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**Related Book For**

## Organic Chemistry

6th Edition

**Authors:** Robert Thornton Morrison, Robert Neilson Boyd

**ISBN:** 9788120307209