Multiple Choice
A position in options on a particular stock has a delta of zero and a gamma of 4.The stock price is 10.Which of the following is the approximate relation between the change in the portfolio value in one day,dP,and the return on the stock,dx
A) dP = 4 times the square of dx
B) dP = 2 times the square of dx
C) dP = 20 times the square of dx
D) dP = 200 times the square of dx
Correct Answer:
Verified
Correct Answer:
Verified
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