Suppose the annualized risk-free rate is 8% and the current price of a stock is 40 with annualized volatility 30%. In addition, there are two European call options of the stock whose strike prices are 40 and 45. Both options expire in 91 days. The price, Delta, and Gamma of the two options are given by the following table. Price Delta Gamma 40 strike 45 strike 2.7847 1.3584 0.5825 0.3285 0.0651 0.0524 Suppose you are a market maker and do not have any share of the stock in your inventories. Given that one of your clients wants to long ONE share and you have to take a short position. Construct a Delta-Gamma neutral portfolio, which only consists of the short position and the 40-strike and 45-strike call options. Suppose the annualized risk-free rate is 8% and the current price of a stock is 40 with annualized volatility 30%. In addition, there are two European call options of the stock whose strike prices are 40 and 45. Both options expire in 91 days. The price, Delta, and Gamma of the two options are given by the following table. Price Delta Gamma 40 strike 45 strike 2.7847 1.3584 0.5825 0.3285 0.0651 0.0524 Suppose you are a market maker and do not have any share of the stock in your inventories. Given that one of your clients wants to long ONE share and you have to take a short position. Construct a Delta-Gamma neutral portfolio, which only consists of the short position and the 40-strike and 45-strike call options