Q3 part c asks that when examining different currency options and their risk factors it was noticed that a long call option had a high gamma value.Explain the possible characteristics of a long call option with a high gamma value.
Can u pls answer this in a very simple way
Thanks
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june 2013
Sir can u pls clear my doubt?
12y ago#2Sorry - I thought I had already answered it :-(
To be honest I cannot think of a different way of saying it than the examiner did in his answer.
(I would not over worry about it - it was only three marks anyway)
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