An option portfolio has a delta of 100 and a vega of 50. (a) If you...
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An option portfolio has a delta of 100 and a vega of 50. (a) If you can use the stock and a delta-neutral straddle with vega of 10 to hedge, how many shares of the _) you need to neutralize the portfolio's delta and vega? stock ( ) and the straddle ( (b) If you only have access to a 50-delta call and a 50-delta put, both with vega of 5, how many shares of the call _) and the put ( -) you need to neutralize the portfolio's delta and vega? An option portfolio has a delta of 100 and a vega of 50. (a) If you can use the stock and a delta-neutral straddle with vega of 10 to hedge, how many shares of the _) you need to neutralize the portfolio's delta and vega? stock ( ) and the straddle ( (b) If you only have access to a 50-delta call and a 50-delta put, both with vega of 5, how many shares of the call _) and the put ( -) you need to neutralize the portfolio's delta and vega?
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a The delta of a portfolio measures the sensitivity of the portfolios value to changes in the price ... View the full answer
Related Book For
Income Tax Fundamentals 2013
ISBN: 9781285586618
31st Edition
Authors: Gerald E. Whittenburg, Martha Altus Buller, Steven L Gill
Posted Date:
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