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雷达卡
You have purchased a 40strike call with 91 days to expiration. You wish
to delta hedge,but you are also concerned about changes in volatility; thus, you want to
vega hedge your position as well。
(a) Compute and graph the 1{day holding period pro_t if you delta andvegahedge this
position using the stock and a 40{strike call with 180 days to expiration.
(b) Compute and graph the 1day holding period pro_t if you delta{,gamma{, and vega{
hedge this position using the stock, a 40strike call with 180 days toexpiration, and
a 45{strike put with 365 days to expiration.
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