Calculate the gamma and theta of the position each week -, Financial Management

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Calculate the gamma and theta of the position each week -

Use the DerivaGem Application Builder functions to reproduce Table. (In Table the stock position is rounded to the nearest 100 shares.)

Calculate the gamma and theta of the position each week.

Calculate the change in the value of the portfolio each week and check whether equation is approximately satisfied. (Note: DerivaGem produces a value of theta ‘‘per calendar day.'' The theta in equation is ‘‘per year.'')

2233_Table 2.jpg

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Financial Management: Calculate the gamma and theta of the position each week -

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Financial Management: Calculate the gamma and theta of the position each week -

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