Bank of America interview question
How do you construct a Delta-Gamma Neutral portfolio?
Interview Answer
Anonymous
25 Mar 2010
First obtain Gamma Neutral with X number of Option A. And then Delta Neutral with Y number of Option B.
How do you construct a Delta-Gamma Neutral portfolio?
Anonymous
First obtain Gamma Neutral with X number of Option A. And then Delta Neutral with Y number of Option B.
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