(Solved by Humans)-A portfolio of derivatives on a stock has a delta of 2400 and a
Paper Details
- A portfolio of derivatives on a stock has a delta of 2400 and a gamma of ?100. An option on the stock with a delta of 0.6 and a gamma of 0.04 can be traded.
- What position in the option creates a portfolio that is gamma neutral? Give size of position and state whether it is long or short?
- After this position has been taken what position in the stock is then necessary for delta neutrality? Give size of position and state whether it is long or short
SOLUTION
Delta
Gamma
GIVEN:Portfolio
Option on stock
2400
0.60
-100
0.04
PART 1
Gamma neutral portfolio is created as follows:Portfolio Gamma + (Gamma of option*no of position) = 0
Let n be the...
Bypass any proctored exams 2025. Book your Exam today!
? Stressed About Your Proctored Exam? You're Not Alone. But We've Got the Solution! ?
Failing attempts? Confusing materials? Overwhelming pressure?
✨ We help you pass your exam on the FIRST TRY, no matter the platform or proctoring software.
✅ Real-time assistance
✅ 100% confidential
✅ No upfront payment—pay only after success!
? Don’t struggle alone. Join the students who are passing stress-free!
? Visit https://proctoredsolutions.com/ and never get stuck with an exam again.
? Your success is just one click away!
Failing attempts? Confusing materials? Overwhelming pressure?
✨ We help you pass your exam on the FIRST TRY, no matter the platform or proctoring software.
✅ Real-time assistance
✅ 100% confidential
✅ No upfront payment—pay only after success!
? Don’t struggle alone. Join the students who are passing stress-free!
? Visit https://proctoredsolutions.com/ and never get stuck with an exam again.
? Your success is just one click away!
STATUS
Answered
QUALITY
Approved
ANSWER RATING
This question was answered on: 10 May, 2025
Solution~000800172.zip (25.37 KB)
This attachment is locked
Our expert Writers have done this assignment before, you can reorder for a fresh, original and plagiarism-free copy and it will be redone much faster (Deadline assured. Flexible pricing. TurnItIn Report provided)
$11.00 ~ Download Solution (Human Written) Rewrite this Paper Afresh for me, no Ai
Pay using PayPal (No PayPal account Required) or your credit card . All your purchases are securely protected.