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Determine the portfolio gamma

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Reference no: EM132972368

Consider a stock with 42% yearly volatility and a current price of 437.5, moreover, the annual risk-free rate is r=0.0125.

  • Assume you want to build a portfolio of options containing one call option with strike K1=420, and one put option with strike K2=460, and the maturity of both options is one year.

Problem 1: Determine the portfolio Gamma.

Reference no: EM132972368

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