How does the gamma of an OTM option behave as we approach maturity? What about the gamma
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How does the gamma of an OTM option behave as we approach maturity? What about the gamma of an ITM option? Derive the answers in the context of the Black-Scholes model and explain the intuition.
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Intuitively speaking as the option goes deep inthemoney its price becomes almost linear in the stock ...View the full answer
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