Question: Problem 12.11 showed how to compute approximate Greek measures for an option. Use this technique to compute delta for the gap option in Figure 14.3,

Problem 12.11 showed how to compute approximate Greek measures for an option. Use this technique to compute delta for the gap option in Figure 14.3, for stock prices ranging from $90 to $110 and for times to expiration of 1 week, 3 months, and 1 year. How easy do you think it would be to hedge a gap call? Discuss.

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