You hold a portfolio that is short 2,000 puts, each with a delta of 0.63. What would

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You hold a portfolio that is short 2,000 puts, each with a delta of −0.63. What would you do to delta-hedge the portfolio?

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Derivatives Principles And Practice

ISBN: 9780078034732

2nd Edition

Authors: Rangarajan Sundaram

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Question Posted: Jan 10, 2024 01:00 AM

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You hold a portfolio that is short 2,000 puts, each with a delta of 0.63. What would

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The change in call value equals the vega multiplied by the change in volati...View the full answer

Derivatives Principles And Practice

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