What portfolio should you buy to delta-gamma hedge portfolio

Assignment Help Financial Management

Reference no: EM131928846

You are short 50 calls at a strike of 95. The stock price is 90, the yearly standard deviation is 40 percent, the yearly . interest rate is 4%, and the time to expiration is 3 months. You can buy/sell the underlying stock or a put option at 85 that expires in three months. You will be happy to know that the “d” in the Black-Sholes formula above is -0.12 for call at 95, and 0.436 for the put at 85. Given all this, what portfolio should you buy to delta-gamma hedge your portfolio?

Reference no: EM131928846

Questions Cloud

Deploying and and configuring a dns service : How could a network administrator use installing and configuring servers and deploying and and configuring a DNS service in their work

Estimate the model using the johansen methodology : Macro-Econometrics Assignment - Estimate the model using the Johansen methodology. I suggest that you order the variables as such: r10, r3, tbill

Discuss the ideas espoused by king and malcolm x : Discuss the ideas espoused by king and Malcolm X. Whichof these men's doctrines do you feel was the best course of action for AA? Why?

Write a program that contains both a main function : Write a program that contains both a main function and a function called swap. Your main program should read in two integer values from the keyboard

What portfolio should you buy to delta-gamma hedge portfolio : The stock price is 90, the yearly standard deviation is 40 percent, the yearly. what portfolio should you buy to delta-gamma hedge your portfolio?

Country follow austerity measures designed to restore : Country follow "austerity measures" designed to restore financial solvency as a condition of receiving a loan?

What is the bond price : A 7% semiannual coupon bond matures in 5 years. The bond has a face value of $1,000 and a current yield of 7.5767%.

When is each type of testing appropriate : When is each type of testing appropriate? Are there situations that preclude the use of a particular type of testing?

What will be the steady states receivables balance : Suppose that a clinic has third-party payer revenue of $ 10,000 a day. On average, it takes the clinic 50 days to collect from its payers.

User Account

All Pages