A financial institution has the following portfolio of over-the-counter options written on Minstagram shares: Type Posit
Posted: Wed May 18, 2022 10:45 pm
- A Financial Institution Has The Following Portfolio Of Over The Counter Options Written On Minstagram Shares Type Posit 1 (28.66 KiB) Viewed 58 times
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