Delta and Gamma Hedging

Delta hedge a call option and then make it Gamma-neutral using additional call option with different strike price.

Thanks to @ Mario Santos for the work of Delta Hedging.

You will need additional parameters like the new strike price to run the gamma hedge, the solving process might take a lot of time if you do more simulations, which can be modified by making the formulas vectorized. Feel free to contact [e-mail] if you have any questions and suggestions, which will be appreciated.