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6L. I: if] points) Let I] he a portfolio and let D1 and D; be derivatives {you may assume they are options if you like].

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6L. I: if] points) Let I] he a portfolio and let D1 and D; be derivatives {you may assume they are options if you like]. Suppose that the following table gives the t, I" and Vega of 11, D1, D9: -" mm Ell-m m-"I {a} {If} points) Show how to transform H into a H' which is l" and Vega neutral. {b} {If} points] Show how to transform H' into a portfolio H" which is t, I", and Vega neutral

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