Guess ill have to find room in my brain for this.
Yeah, expect delta hedging to show up in some form. Speaking of this question, in order to calculate the required number of shares we need to sell short is there any reason we can’t just do # options x delta?
2012 AM is brutal
Don’t really see how this question is difficult. The only part that is kind of hard is B, but you should know that Gamma is highest when the put is ATM. Change in price of the option will be higher when the option moves more into the money.
is this the delta hedge against the benchmark? I got this wrong too but after reviewing the section it is really easy