For two European call options, Call-l and Call-Il on a non-dividend-paying stock, you are given: Suppose you
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For two European call options, Call-l and Call-Il on a non-dividend-paying stock, you are given:
Suppose you just sold 500 units of Call-1.
Using units of Call-II and stock, you delta-hedge and gamma-hedge your position in Call-L What is the total Vega for the call options (both long and short) in your portfolio?
Related Book For
Principles of Accounting
ISBN: 978-1133626985
12th edition
Authors: Belverd E. Needles, Marian Powers and Susan V. Crosson
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