Aston University - BF 3314 Maintaining a delta-neutral portfolio is an example of which of the following: Stop-loss strategy Dynamic hedging Hedge and forget strategy Static hedging

Finance Apr 03, 2021

Aston University - BF 3314

Maintaining a delta-neutral portfolio is an example of which of the following:

1. Stop-loss strategy
2. Dynamic hedging
3. Hedge and forget strategy
4. Static hedging

Expert Solution

Answer:

b )

Step-by-Step explanation

The process of hedging the gamma and vega exposures is called dynamic hedging. It is dynamic in the sense that underlier varies several times during the day. Data neutral portfolio is an example of dynamic hedging. Hence, the correct option is B.

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