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A delta-neutral portfolio has a gamma of -1,500. The delta and gamma of a call option...

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Finance

A delta-neutral portfolio has a gamma of -1,500. The delta andgamma of a call option are 0.4 and 1.5 respectively. a) How manycall options is needed to make it gamma-neutral? b) Making theportfolio gamma-neutral causes the portfolio to no longer bedelta-neutral. How many shares of the underlying must be sold tokeep it delta-neutral?

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A deltaneutral portfolio has a gamma of 1500 The delta of a call option is 04 The gamma of a call option is 15 How many call options is needed to make it    See Answer
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