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Homework%204-Fall07

Homework%204-Fall07 - James S Doran Assistant Professor of...

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James S. Doran Assistant Professor of Finance Florida State University 1 Senio 4934 Option Pricing a sk Management r Seminar nd Fina cial Ri Homework #4 n 1. Using the most recent options on QQQQ that expire in December. (Hint: Use the Black‐ Scholes calculator for the Greeks) f you were short the a. How would you create a delta and gamma neutral portfolio i ATM call and hedged with the stock and a 5% OTM option. b. How about vega and delta neutral using the same positions. 2. Using the 3‐month futures prices of crude oil and the prices on the S&P 500 Index in 2001
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