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(D) AMN financial institution has the following portfolio of over-the-counter options on Japanese Yen: | Position Call Call Put Call -500 -250 -1000 -350 DELTA
(D) AMN financial institution has the following portfolio of over-the-counter options on Japanese Yen: | Position Call Call Put Call -500 -250 -1000 -350 DELTA of option 0.50 0.80 -0.40 0.70 GAMMA of option 2.1 0.5 1.6 1.4 VEGA of option 1.6 0.1 0.5 1.2 A traded option available with a Delta of 0.6, a Gamma of 1.871060 and a Vega of 0.8. (1) What position in the traded option and in Japanese Yen would make the portfolio both Gamma neutral and Delta neutral? (07 Marks) (D) AMN financial institution has the following portfolio of over-the-counter options on Japanese Yen: | Position Call Call Put Call -500 -250 -1000 -350 DELTA of option 0.50 0.80 -0.40 0.70 GAMMA of option 2.1 0.5 1.6 1.4 VEGA of option 1.6 0.1 0.5 1.2 A traded option available with a Delta of 0.6, a Gamma of 1.871060 and a Vega of 0.8. (1) What position in the traded option and in Japanese Yen would make the portfolio both Gamma neutral and Delta neutral? (07 Marks)
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