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Gamma-Neutral Portfolio


A portfolio of options (generally derivatives) which has an overall gamma of zero. This portfolio can be constructed by entering into positions with equal but opposite deltas. This helps to hedge against time price sensitivity of the second order (second-order greeks).

For a practical example, see gamma-netural portfolio: an example.



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Derivatives have increasingly become very important tools in finance over the last three decades. Many different types of derivatives are now traded actively on ...
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