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Consider a forward where the underlying asset pays no income. Underlying asset price = $2.5,...

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Accounting

  1. Consider a forward where the underlying asset pays no income. Underlying asset price = $2.5, forward price = $1.2, years to expiration = 0.23, underlying asset volatility = 54.11%, and risk-free interest rate = 3%. What is the Gamma in a short position in the forward contract?
  1. 0
  2. 1
  3. -1
  4. None of the above
  5. Impossible to determine using the information provided

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