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june 2013

This topic has 2 replies, 2 voices, and was last updated 10 years ago by John Moffat.

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May 31, 2014 at 9:20 pm #172228
hasanali95
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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
June 2, 2014 at 6:35 pm #172955
hasanali95
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Sir can u pls clear my doubt?
June 3, 2014 at 8:29 am #173130
John Moffat
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Sorry – 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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