By looking at the sensivities of your portfolio to ds = -$2 and 80 = -1%, you decide to hedge delta, gamma and Vega risk of your portfolio with the underlying stock and two different options on the same asset with below data. Calculate the units of stock you need to trade to hedge away all delta, gamma and Vega risks of your portfolio.(Note that here you have to calculate the units of stock, Option A and Option B, but you will only submit the units of stock.) Variable Delta (A) Gamma (T) Vega (v) Option A Option B -0.5 0.2 0.2 0.1 7 8
By looking at the sensivities of your portfolio to ds = -$2 and 80 = -1%, you decide to hedge delta, gamma and Vega risk of your portfolio with the underlying stock and two different options on the same asset with below data. Calculate the units of stock you need to trade to hedge away all delta, gamma and Vega risks of your portfolio.(Note that here you have to calculate the units of stock, Option A and Option B, but you will only submit the units of stock.) Variable Delta (A) Gamma (T) Vega (v) Option A Option B -0.5 0.2 0.2 0.1 7 8
Chapter8: Analysis Of Risk And Return
Section: Chapter Questions
Problem 6P
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