Problem

27. Using the same information as in Question 26, calculate the following quantities: (a...

27. Using the same information as in Question 26, calculate the following quantities:

(a) The delta and gamma of a covered call portfolio with K = 55 (i.e., a portfolio where you are long the stock and short a call with a strike of 55).

(b) The delta and gamma of a protective put portfolio with K = 50 (long the stock and long a put with a strike of 50).

(c) The delta and gamma of a bull spread using calls with strikes of 55 and 60 (long a 55-strike call, short a 60-strike call).

(d) The delta and gamma of a butterfly spread using calls with strikes of 50, 55, and 60 (long a 50-strike call, long a 60-strike call, and short two 55-strike calls).

(e) The delta and gamma of a collar with strikes 50 and 60 (long position in the stock, long a 50-strike put, short a 60-strike call).

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Solutions For Problems in Chapter 17