Create a delta-gamma-neutral portfolio

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Question - You hold 60 shares (the underlying asset). A call option (Z) is available with 100 shares as the underlying asset and has Delta=0.6 and Gamma=1.5. Another call option (Q) is available with 100 shares as the underlying asset and has Delta=0.5 and Gamma=2.0. Create a delta-gamma-neutral portfolio and estimate the delta and gamma of this portfolio (assume you can buy and sell fractions of shares and options).

Reference no: EM132937965

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