question (c.3)

c) Given the following information: Delta Gamma 0.3 0 Security A Security B Portfolio -0.2 0.6 90,000 -600 c.1) Interpret the delta and gamma of the asset A in terms of an investors gains and losses in response to changes in asset prices [10 marks] c.2) Identity a position that makes the portfolio delta neutral [10 marks] C.3) Identify a position in securities' A and B that make the portfolio both delta and gamma neutral [25 marks] c) Given the following information: Delta Gamma 0.3 0 Security A Security B Portfolio -0.2 0.6 90,000 -600 c.1) Interpret the delta and gamma of the asset A in terms of an investors gains and losses in response to changes in asset prices [10 marks] c.2) Identity a position that makes the portfolio delta neutral [10 marks] C.3) Identify a position in securities' A and B that make the portfolio both delta and gamma neutral [25 marks]