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A financial institution has the following portfolio of over the counter options on sterling Type number Delta of one Gamma of Vega of one option

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A financial institution has the following portfolio of over the counter options on sterling Type number Delta of one Gamma of Vega of one option one option option Call -1000 0.5 0.2 1.8 Call -500 0.80 0.06 0.2 Put -2000 -0.40 0.1 0.7 (a) [5pts] Compute the portfolio delta and gamma and interpret the results

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