You are long a portfolio of vanilla call options.Which of the following will help you hedge away your convexity (gamma) ?
A) Buying a portfolio of in-the-money vanilla put options.
B) Buying a portfolio of out-of-the money vanilla put options.
C) Buying a portfolio of in-the-money cash-or-nothing put options.
D) Buying a portfolio of out-of-the money cash-or-nothing put options.
Correct Answer:
Verified
Q2: A three-month at-the-money call option on a
Q3: A cash-or-nothing call option written on a
Q4: A path-independent option is
A)An option where the
Q5: A forward-start option is
A)An option where the
Q6: The gamma of a cash-or-nothing binary call
Q7: The gamma of a cash-or-nothing binary call
Q8: An exotic option is
A)Any option written on
Q9: At maturity in an asset-or-nothing option written
Q10: Consider digital (cash-or-nothing)call options.When volatility increases,the holders
Q11: Consider a stock that pays no dividends.You
Unlock this Answer For Free Now!
View this answer and more for free by performing one of the following actions
Scan the QR code to install the App and get 2 free unlocks
Unlock quizzes for free by uploading documents