Question: Suppose there is a second traded option with a Delta of 0.65, a Gamma of 0.4, and a Vega of 0.8. What position in the

Suppose there is a second traded option with a Delta of

Suppose there is a second traded option with a Delta of 0.65, a Gamma of 0.4, and a Vega of 0.8. What position in the traded option and in Minstagram shares would make the portfolio Delta-Gamma-Vega neutral?

A financial institution has the following portfolio of over-the-counter options written on Minstagram shares: Type Position Delta of Option Gamma of Option Vega of Option Call -3,000 0.65 1.5 1.30 Call -2.000 0.70 0.6 0.85 Put -750 -0.35 1.8 0.70 Call -50 0.70 1.7 1.40 A traded option is available with a Delta of 0.8.a Gamma of 1.1. and a Vega of 0.45 A financial institution has the following portfolio of over-the-counter options written on Minstagram shares: Type Position Delta of Option Gamma of Option Vega of Option Call -3,000 0.65 1.5 1.30 Call -2.000 0.70 0.6 0.85 Put -750 -0.35 1.8 0.70 Call -50 0.70 1.7 1.40 A traded option is available with a Delta of 0.8.a Gamma of 1.1. and a Vega of 0.45

Step by Step Solution

There are 3 Steps involved in it

1 Expert Approved Answer

Step: 1 Unlock blur-text-image

Question Has Been Solved by an Expert!

Get step-by-step solutions from verified subject matter experts

Step: 2 Unlock

Step: 3 Unlock

Students Have Also Explored These Related Finance Questions!

Comprehensive Problem One Noah and Joan Arc's Tax Return Noah and Joan Arc live with their family in Dayton, OH. Noah's Social Security number is 434-11-3311. Noah was born on February 22, 1983 and...

c) Suppose there is a second traded option with a Delta of 0.65, a Gamma of 0.4, and a Vega of 0.8. What position in the traded option and in Minstagram shares would make the portfolio...

consider again the situation in problem 8.17. Suppose that a second traded option with a delta of .1, a gamma of .5 and a vega of .6 is available. How could the portfolio be made delta, gamma, and...

Suppose that a second traded option has a delta, gamma, and vega of -0.4, 0.9, and 0.5 respectively, and costs $0.04 (per Euro). What position in the two traded options, Euros and risk-free assets...

3) Show work. A financial institution has the following portfolio of OTC options on euros: Type Position Delta Gamma Vega Call -1,000 0.50 2.2 1.8 Call -500 0.80 0.6 0.2 Put -2,000 -0.40 1.3 0.7 Call...

A portfolio manager has the following portfolio of options of a stock. TYPE POSITION DELTA OF OPTION GAMMA OF OPTION CALL -1000 0.50 1.8 CALL -500 0.80 0.2 PUT -2000 -0.40 0.7 CALL -500 0.70 1.4 A...

a) Long 3000 calls and sell 1750 shares of stock b) Long 2,000 calls and sell 1,550 shares of stock c) Long 4,000 calls and sell 1,950 shares of stock d) Long 5,000 calls and sell 2,550 shares of...

A portfolio manager has the following portfolio of options of a stock. TYPE POSITION DELTA OF OPTION GAMMA OF OPTION CALL -1000 0.50 1.8 CALL -500 0.80 0.2 PUT -2000 -0.40 0.7 CALL -500 0.70 1.4 A...

1. (Risk management) A financial institution has the following portfolio of options on a non- dividend-paying stock: Type Position Delta Gamma Vega Call Put Call -800 0.8 0.5 0.2 -1500 -0.5 1.2 0.6...

QUESTION THREE A financial institution has the following portfolio of over-the-counter options written on Minstagram shares: Type Position Delta of Option Gamma of Option Vega of Option Call -3,000...

For each of the following reactions, calculate AH-rxn, AS-rxn, AG.rxn at 25 C. State whether or not the reaction is spontaneous. If the reaction is not spontaneous, would a change in temperature make...

Plaza, Inc., acquires 80 percent of the outstanding common stock of Stanford Corporation on January 1, 2018, in exchange for $900,000 cash. At the acquisition date, Stanfords total fair value,...

Unlimited liability means all business and personal assets may be risk for a business liability. True thoughts.

Add "Viggo Mortenslet cast = new Map ( ) ;en " to the cast as the key, with value "Aragorn".