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30#
发表于 2012-4-3 14:42
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Two call options have the same delta but option A has a higher gamma than option B. When the price of the underlying asset increases, the number of option A calls necessary to hedge the price risk in 100 shares of stock, compared to the number of option B calls, is a: A)
| larger positive number. |
| B)
| smaller (negative) number. |
| C)
| larger (negative) number. |
|
For call options larger gamma means that as the asset price increases, the delta of option A increases more than the delta of option B. Since the hedge ratio for calls is – 1/delta, the number of calls necessary for the hedge is a smaller (negative) number for option A than for option B. |
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