Consider a European call option. Cl and a European put option. P. both 1Written on a nonadividend paving stock. S. with the same strike price and maturity. {i} Determine, for C and P: (a) the putcall parity relationship by eonstrueting and comparing two portfolios. [h] a relationship hetvveen the deltas. (e) a relationship betvveen the gammas. Consider now a portfolio of cash: a units ofP and 1 million units of S. The delta ofP is 41212. and the gamma ofP is IDS-1'1 {ii} Calculate the value of n that Would give a portfolio a delta of Zero. Tvvo derivatives are now added to the portfolio: the call option C and a new derivative, D, which has a delta ofl and a gamma ofl 1 1. {iii} Calculate the number of derivatives C and D that Would need to be added to the portfolio so that both the delta and gamma of the espanded portfolio are Zero