Suppose you hold a portfolio of options that is delta-neutral and has a gamma of 1,500 and a vega of –2600. There are two options with a delta of 0.5 and 0.3, gamma of 1.8 and 1.2, and vega of 3.0 and 2.8. How would you make this portfolio gamma-neutral as well as vega-neutral?

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Problem 1724 A financial institution has the following ... View the full answer