Hedge fund managers following a convertible arbitrage strategy are said to be:
　　A. long gamma and short vega
　　B. short gamma and short vega
　　C. long gamma and long vega
　　D. short gamma and long vega
　　Answer:C
　　Convertible arbitrage managers hedge their equity exposure by shorting stocks using the delta hedge ratio. Because they are exposed to changes in the hedge ratio, they are said to be long gamma. They are also exposed to changes in the price volatility ofthe stock underlying the option embedded in the convertible security, so they are said to be long Vega.