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Delta-Gamma Neutral Position, self financedDelta-Gamma Neutral Position, self financed
eagertolearn said: "I'm trying to design a position for an investor who would like to benefit from an increase in volatility by 5% percentage points in the amount of $1000 but would like to be delta and gamma neutral, and have the portfolio designed be self financing.
The spot price on the underlying asset is $100 with a continuously compounded interest rate of 6% and a dividend yield of 2%, also continuously compounded. A three month put struck at 80 and
a six month call struck at 120 have the following information:
80Put maturity=0.25 120Call maturity=.5
Price 2.0836 7.9372
Delta -0.1444 0.3849
Gamma 0.008929 0.01376
Vega 11.3458 16.9264
Any ideas/tips/explanations on how to go about this. I know this is relatively easy, but I'm still learning."