Consider a stock and two European call options of the stock. The price, Delta, and Gamma of the two options are given by

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Consider a stock and two European call options of the stock. The price, Delta, and Gamma of the two options are given by

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Consider A Stock And Two European Call Options Of The Stock The Price Delta And Gamma Of The Two Options Are Given By 1
Consider A Stock And Two European Call Options Of The Stock The Price Delta And Gamma Of The Two Options Are Given By 1 (83.21 KiB) Viewed 30 times
Consider a stock and two European call options of the stock. The price, Delta, and Gamma of the two options are given by the following table. 40 strike 45 strike Price 2.7847 1.3684 Delta 0.5825 0.3385 Gamma 0.0651 0.0534 Suppose you are a market maker and do not have any share of the stock in your inventories. Given that one of your clients wants to long ONE share and you have to take a short position. Construct a Delta-Gamma neutral portfolio, which only consists of the short position and the 40-strike and 45-strike call options.
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