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3 3. (20pt) For two European call options, Call-I and Call-II, on a stock, you are given: 1 Delta Type Call-I Call-II 0.5825 0.7773 Gamma

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3. (20pt) For two European call options, Call-I and Call-II, on a stock, you are given: 1 Delta Type Call-I Call-II 0.5825 0.7773 Gamma 0.0651 0.0746 Suppose that you are taking a short position on 1,000 units of Call-I. Determine the position on Call-II and the underling stock you should take in order to hedge your position, neutralizing both delta and gamma

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