A delta and gamma hedge is

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Quizplus · Accepted Answer

A delta and gamma hedge aims to eliminate both delta and gamma risks in a portfolio of spot and derivative positions. This involves adjusting the portfolio to ensure that the overall delta and gamma are zero. However, this hedge is not guaranteed to be free of all risks, as other risks such as vega, theta and rho may still exist. Additionally, a delta and gamma hedge may be effective only for small changes in the underlying instrument, as larger moves could shift the delta and gamma values and require new adjustments to maintain the hedge. Therefore, all of the above statements are true.

A Delta and Gamma Hedge Is