Hedge Fund A’s volatility trading strategy can be implemented by following multiple paths. One path is through simple exchange-traded options. The maturity of such options typically extends to no more than two years. In terms of expiry, the longer-dated options will have more absolute exposure to volatility levels than shorter-dated options, but the shorter-dated options will exhibit more delta sensitivity to price changes.
------这是原版书课后题答案。 这个和李老师说的怎么不一致，他说我们要把delta和gamma都对冲掉，只保留volatility，可是这里明明说这个策略是long-dated的option结合short dated的option。他们期限都不一样怎么对冲掉delta和gamma？？
