Suppose a portfolio consists of 100 units of short call options
and 60 units of the underlying asset. The call option has a delta
of 0.6, a gamma of 1.5, and a vega of 1.2. The options shown in the
table below can be traded. What position in the traded options
would make the portfolio delta, gamma, and vega neutral?
Suppose A Portfolio Consists Of 100 Units Of Short Call Options And 60 Units Of The Underlying Asset The Call Option Ha 1 (16.4 KiB) Viewed 13 times