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ABC Bank has the following portfolio of over-the-counter options on the same underlying asset: 1 Two traded options are available. Traded option A has a
ABC Bank has the following portfolio of over-the-counter options on the same underlying asset: 1 Two traded options are available. Traded option A has a delta of 0.6 , a gamma of 1.0, and a vega of 0.5 ; Traded option B has a delta of 0.7 , a gamma of 1.5 , and a vega of 0.9 . a) Calculate the delta, gamma and vega of the portfolio. b) How can the portfolio be made both delta and gamma neutral? Use traded option A. c) How can you make all the three Greeks (Delta, Gamma, Vega) neutral
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