HW%202%202010%20ans - AnswerstoHomeworkAssignment#2

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1 Slides for students of FNCE305 only. All Rights Reserved. Prof. Tu Jun©2010 Answers to  Answers to  Homework Assignment #2 Homework Assignment #2
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2 Slides for students of FNCE305 only. All Rights Reserved. Prof. Tu Jun©2010
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3 Slides for students of FNCE305 only. All Rights Reserved. Prof. Tu Jun©2010
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4 Slides for students of FNCE305 only. All Rights Reserved. Prof. Tu Jun©2010
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5 Slides for students of FNCE305 only. All Rights Reserved. Prof. Tu Jun©2010
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6 Slides for students of FNCE305 only. All Rights Reserved. Prof. Tu Jun©2010
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7 Slides for students of FNCE305 only. All Rights Reserved. Prof. Tu Jun©2010
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8 Slides for students of FNCE305 only. All Rights Reserved. Prof. Tu Jun©2010 6.2.0  Assume the vega of a call on a stock is 0.4 and you bought 50 such calls. Suppose the vega on a put on the same stock is 0.2. How can you construct a portfolio containing these calls
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HW%202%202010%20ans - AnswerstoHomeworkAssignment#2

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