Domanda di colloquio di Bank of America
How do you construct a Delta-Gamma Neutral portfolio?
Risposta di colloquio
Anonimo
25 mar 2010
First obtain Gamma Neutral with X number of Option A. And then Delta Neutral with Y number of Option B.
How do you construct a Delta-Gamma Neutral portfolio?
Anonimo
First obtain Gamma Neutral with X number of Option A. And then Delta Neutral with Y number of Option B.