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Derivatives and Risk Management, 1st Edition
book

Derivatives and Risk Management, 1st Edition

by Sundaram Janakiramanan
May 2024
Intermediate to advanced content levelIntermediate to advanced
542 pages
27h 26m
English
Pearson India
Content preview from Derivatives and Risk Management, 1st Edition
Greeks in Options 463
R E V I E W Q U E S T I O N S
1. Why is it necessary for  nancial institutions to hedge their op-
tion positions?
2. Why is option hedging a complicated a air?
3. What is meant by:
(i) Delta hedging
(ii) Gamma hedging
(iii) Vega hedging
4. What is meant by the delta, gamma, theta, vega, and rho of
options?
5. How would you make a portfolio gamma-neutral?
adjustments in the portfolio such that the portfolio remains
delta-neutral.
Vega is a measure of the sensitivity of the option price to
changes in the volatility of the underlying asset price. e
portfolios can also be made vega-neutral. ...
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Publisher Resources

ISBN: 9781299447547Publisher Website