Hedging with multiple targets

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Hedging with Multiple Targets

Assume the delta of a call on a stock is 0.6, the gamma of the call is 0.2 and you have bought 100 such calls. Suppose the gamma on a put on the same stock is 0.2. The delta of the put is 4125. How can you construct a portfolio containing these calls, and potentially puts and underlying, to have zero delta and zero gamma?

Reference no: EM133121238

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