Suppose that we have a situation described by the table below:

Delta Vega Gamma

Current portfolio $060036$

Option A $3\mathrm{.}02\mathrm{.}50\mathrm{.}05$

Option B $4\mathrm{.}04\mathrm{.}50\mathrm{.}15$

a$)$ What positions should we take in option A and option B to make the portfolio

gamma and vega neutral $?[4]$

b$)$ What will be the effect of actions taken in a$)$ on the delta of the portfolio $?$ What further

action should be taken for delta neutrality?