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Q3) You have the following data for a derivative portfolio: Delta Gamma Vega Portfolio o 2000-6000 Option 1 0.8 -0.8 1.2 Option 2 0.3 1.6
Q3) You have the following data for a derivative portfolio: Delta Gamma Vega Portfolio o 2000-6000 Option 1 0.8 -0.8 1.2 Option 2 0.3 1.6 0.5 i) What position in option 1 and the underlying asset will make the portfolio delta and gamma neutral? [2.5 marks] ii) What position in option 1 and the underlying asset will make the portfolio delta and Vega neutral? [2.5 marks] iii) What position in option 1, option 2, and the asset will make the portfolio delta, gamma, and Vega neutral? [5 marks]
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