<t>OK, I think that I found the right solution.Once I have the global delta of 0 and the global gamma of -0,8, I have to find Q1 stocks and Q2 options. (Q for quantity)I solve the gamma: -0,8 + 0,041*Q2 = 0 => Q2= 19,51After that I can solve the equation to find my neutral delta. Neutral delta: Q1 +...

<t>Can you help me with the following question???Here are the datas of the portfolio:I have 0 stocksI'm long on 250 call with a delta of 0,5 and gamma of 0,03I'm long on 100 put with a delta of -0,45 and a gamma of 0,029I'm short on 800 call with a delta of 0,1 and a gamma of 0,014There is a negocia...

Thanks a lot for the information... I'm going to try to understand Karasinski.

<t>Hello,I followed a class in capital market theory. This class was very difficult for me since my math level is poor. I have an oral exam and the professor told us that we can make a small project on a specific chapter. My idea is to start from the B&S formula and talk about a recent improveme...