A portfolio of derivatives on a stock has a delta of 2400 and a gamma of -10. An option on the stock with a delta of 0.5 and a gamma of 0.04 can be traded. What position in the option is necessary to make the portfolio gamma neutral?
A、Long position in 250 options
B、Short position in 250 options
C、Long position in 20 options
D、Short position in 20 options
A、Long position in 250 options
B、Short position in 250 options
C、Long position in 20 options
D、Short position in 20 options
金融工程学（双语）
章节列表
1 金融工程概述 Chapter 1 Introduction to Financial Engineering52 远期与期货概述 Chapter 2 Introduction to Forwards and Futures53 远期与期货的定价 Chapter 3 Pricing Forwards and Futures54 运用远期与期货进行套期保值 Chapter 4 Use forwards and futures for hedging55 金融远期与期货合约示例 Chapter 5 Examples of Financial Forwards and Futures Contracts56 互换 Chapter 6 Swap511 期末考试377 期权与期权市场 Chapter 7 Option and Option Markets58 期权价格特性 Chapter 8 Properties of Option Prices69 期权定价 Chapter 9 Option Pricing810 期权的应用 Chapter 10 Applications of Options10