Question: In the following problems assume, unless otherwise stated, that S = $40, sigma = 30%, r = 8%, and delta = 0. You have written

In the following problems assume, unless otherwise stated, that S =

In the following problems assume, unless otherwise stated, that S = $40, sigma = 30%, r = 8%, and delta = 0. You have written a 35-40-45 butterfly spread with 91 days to expiration. Compute and graph the 1-day holding period profit if you delta- and gamma-hedge this position using the stock and a 40-strike call with 180 days to expiration

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