Function to calculate the hedge positions for achieving greek(s) neutrality for European Call/Put.
greekneutrality()Positions in the underlying or traded option(s) to achieve the desired greek neutrality
The user inputs are as follows: Positions: entered with comma separation in case of multiple options. Short positions are entered with a '-' sign prefixed. e.g. -1000, -500, -2000, -500 Deltas: entered with comma separation in case of multiple options. e.g. 0.5, 0.8, -0.4, 0.7 Gammas: entered with comma separation in case of multiple options. e.g. 2.2, 0.6, 1.3, 1.8 Vegas: entered with comma separation in case of multiple options. e.g. 1.8, 0.2, 0.7, 1.4 Type of Neutrality desired: chosen amonst Delta, Delta and Gamma, Delta and Vega, Delta Gamma and Vega Delta, Gamma, Vega of traded option 1: entered with comma separation in case of multiple options. e.g. 0.6, 1.5, 0.8 Delta, Gamma, Vega of traded option 2:entered with comma separation in case of multiple options. e.g. 0.1, 0.5, 0.6
John C. Hull, "Options, Futures, and Other Derivatives", 8/E, Prentice Hall, 2012.