You have performed the following trading strategy at time 0:

1. Write a call option on 100 shares of Stock E;
2. Buy a put option on 100 shares of Stock E with the same strike price and maturity as the written call;
3. Purchase 100 shares of Stock E. 

 

QUESTION :

Assume the call and put options are European style, show the strategy is delta-neutral?

Answer rating: 100% (QA)

To show that the strategy is deltaneutral we need to verify that the delta of the combination of op... View the full answer