Test what happens when delta is close to zero

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A common complaint of risk managers is that the model-building approach (either linear or quadratic) does not work well when delta is close to zero. Test what happens when delta is close to zero by using Sample Application E in the DerivaGem Applications. (You can do this by experimenting with different option positions and adjusting the position in the underlying to give a delta of zero.)

Explain the results you get.

Reference no: EM131239618

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