Problem 11.17 You hold a portfolio with A(V) = 400, T(V) = 200, = Vega(V) 100. You can trade in the underlying asset, in a call option with A(C) = 0.2, F(C) = 0.1, Vega(C) = 0.2 and in a put option with A(P) : = 0.5, F'(P) = 0.2, Vega(P) = 0.1. How many shares of the asset, call and put options you trade in order to make the portfolio A-, T- and Vega-neutral? Problem 11.17 You hold a portfolio with A(V) = 400, T(V) = 200, = Vega(V) 100. You can trade in the underlying asset, in a call option with A(C) = 0.2, F(C) = 0.1, Vega(C) = 0.2 and in a put option with A(P) : = 0.5, F'(P) = 0.2, Vega(P) = 0.1. How many shares of the asset, call and put options you trade in order to make the portfolio A-, T- and Vega-neutral