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A financial institution has written currency call options for a multinational corporation. The financial institution's portfolio is currently delta neutral, but not gamma or vega
A financial institution has written currency call options for a multinational corporation. The financial institution's portfolio is currently delta neutral, but not gamma or vega neutral. To make the portfolio delta, gamma and vega neutral, the financial institution must be able to buy or sell One traded option. The underlying asset and one traded option. Two traded options. The underlying asset or a futures contract, and two traded options
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