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Gamma Neutral |
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Gamma Neutral Describing a portfolio with a delta of zero. Delta is a measure of how much the price of a derivative increases (a positive delta) or decreases (a negative delta) for each increase in the price of the underlying asset. One constructs a gamma neutral portfolio by purchasing derivatives with equal, but opposite, deltas. See also: Hedging strategy. Want to thank TFD for its existence? Tell a friend about us, add a link to this page, add the site to iGoogle, or visit the webmaster's page for free fun content. |
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