For two European call options, Call-I and Call-II, on a stock, you are given: Suppose you just
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For two European call options, Call-I and Call-II, on a stock, you are given:
Suppose you just sold 1,000 units of Call-I. You buy or sell appropriate units of the stock and Call-II in order to both delta-hedge and vega-hedge your position in Call-I.
Calculate the gamma of your hedged portfolio.
Transcribed Image Text:
Greek Delta Gamma Vega Call-I 0.5825 0.0651 0.0781 Call-II 0.7773 0.0746 0.0596
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