(40 points) Consider the log-normal asset price model with So = $80, = 30%, and r = 6%. Construct a delta-gamma neutral portfolio to hedge a short position on 500 calls expiring after 90 days with strike price $80, taking as an additional component a call option expiring after 120 days with strike price $85. Find the changes in value of these portfolios after 5 days if the stock drops to $75