Math Question 1: A market-maker sells option A for $10. This…
Math Question 1: A market-maker sells option A for $10. This option’s delta is 0.6557 and its gamma is 0.02. The market maker proceeds to delta-gamma hedge this commitment by trading in the underlying and also in option B on the same stock. The latter option’s price is $4.70, its delta is 0.5794 and its gamma is 0.04. What is the market-maker’s resulting position in the underlying stock?