Problem $3(15$pt$)$: A financial institution has the following portfolio of over$-$the$-$counter options on a specific

financial asset:

$(5$pt$)$ What position in the underlying asset would make the portfolio delta neutral?

$(10$pt$)$ Suppose that an option on the same underlying asset is available with a delta of $0\mathrm{.}6$ and a gamma

of $1\mathrm{.}5.$ What positions in the underlying asset and in the available option would make the portfolio

both delta neutral and gamma neutral?