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Results tagged with gamma
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user 16106
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Delta and gamma neutral
A financial institution currently has a portfolio with delta of 450 and gamma of
6,000. A traded option is available with a delta of 0.6 and a gamma of 1.5. … How
could the portfolio be made both delta neutral and gamma neutral?
Sorry for this easy question, however I want to know how to make the portfolio delta and gamma neutral. Thanks a lot. …
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