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(c) You are given the following information on options on a given stock. Strike Price Premium Gamma Type Call 18.87 0.00
Posted: Sun Jul 03, 2022 12:57 pm
by answerhappygod
- C You Are Given The Following Information On Options On A Given Stock Strike Price Premium Gamma Type Call 18 87 0 00 1 (51.35 KiB) Viewed 10 times
(c) You are given the following information on options on a given stock. Strike Price Premium Gamma Type Call 18.87 0.00804 Call 12.84 0.00915 Put 7.67 0.00679 60 80 50 Delta 0.686 0.536 -0.213 A market maker writes 1000 of the 60 strike calls. What is the cost for a delta-gamma hedge constructed with the other two options without using shares of stock?