A stock is trading at $80. Your boss holds a delta-hedged portfolio in which he...
90.2K
Verified Solution
Link Copied!
Question
Finance
A stock is trading at $80. Your boss holds a delta-hedged portfolio in which he is short a call and long units of the stock. The delta of the call is 0.65 and the gamma of the call is 0.06. How much is the projected change in the value (per share) of his delta-hedged portfolio if the stock registers an unexpected price decrease of $4?
(a) not change. (b) decrease by $0.12. (c) increase by $0.56. (d) decrease by $0.48.
Get Answers to Unlimited Questions
Join us to gain access to millions of questions and expert answers. Enjoy exclusive benefits tailored just for you!
Membership Benefits:
- Unlimited Question Access with detailed Answers
- Zin AI - 3 Million Words
- 10 Dall-E 3 Images
- 20 Plot Generations
- Conversation with Dialogue Memory
- No Ads, Ever!
- Access to Our Best AI Platform: Flex AI - Your personal assistant for all your inquiries!
Other questions asked by students
StudyZin's Question Purchase
1 Answer
$0.99
(Save $1 )
One time Pay
- No Ads
- Answer to 1 Question
- Get free Zin AI - 50 Thousand Words per Month
Best
Unlimited
$4.99*
(Save $5 )
Billed Monthly
- No Ads
- Answers to Unlimited Questions
- Get free Zin AI - 3 Million Words per Month
*First month only
Free
$0
- Get this answer for free!
- Sign up now to unlock the answer instantly
You can see the logs in the Dashboard.