You Are Long a Portfolio of Vanilla Call Options

question 38

Multiple Choice

You are long a portfolio of vanilla call options. Which of the following will help you hedge away your convexity (gamma) ?

• A) Buying a portfolio of in-the-money vanilla put options.
• B) Buying a portfolio of out-of-the money vanilla put options.
• C) Buying a portfolio of in-the-money cash-or-nothing put options.
• D) Buying a portfolio of out-of-the money cash-or-nothing put options.

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