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A financial institution has the following portfolio of over-the-counter options on sterling: Type Position Delta of Option Gamma of Option Vega of Option Call -1,000 0.5 2.2 1.8 Call -500 0.8 0.6 0.2 Put -2,000 -0.4 1.3 0.7 Call -500 0.7 1.8 1.4 A traded option is available with a delta of 0.6, a gamma of 1.5, and a vega of 0.8.
(i) What position in the traded option and in sterling would make the portfolio both gamma neutral and delta neutral?
(ii) What position in the traded option and in sterling would make the portfolio both vega neutral and delta neutral?
What will the expected return and beta on the portfolio be after the purchase of the Omega stock?
Determine the two possible stock prices for the next period.- Determine the intrinsic values at expiration of a European call option with an exercise price of $25.
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tom owns an independent bookstore located in philadelphia. tom has to decide on the best order quantity for a new
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