Gamma of options on same strike
Quantitative Finance
Level
2
If the gamma of the call on the 30 strike expiring in June is 0.05, what is the gamma of the put on the 30 strike expiring in June?
-0.05
0.95
-0.95
0.05
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1 solution
There is a typo in the problem. I think it means to ask for the gamma* of the put.