Construct a delta-vega neutral portfolio to hedge a short


Suppose that the risk-free rate is 6%. Consider a stock with price S = 100 and volatility σ = 30%. Construct a delta-vega neutral portfolio to hedge a short position of one call option expiring after 60 days with strike price X = 120 taking as an additional component a call option expiring after 45 days with the strike price X = 140.

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Financial Management: Construct a delta-vega neutral portfolio to hedge a short
Reference No:- TGS02361998

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