(d) An investor just wrote one thousand units of $50-strike calls with 100 days to expiration. There is a $40-strike put option with 70 days to expiration written on the same non-dividend-paying underlying stock in the market. The current information of these assets is given as below. Asset 100-day $50-strike Call 70-day $40-strike Put Underlying Stock Unit Price Delta A Gamma I $2 0.4 0.15 $1 -0.2 0.3 $3 The investor makes a Delta-Gamma neutral portfolio with these assets to reduce risk, determine the value of the portfolio. [5 marks] (d) An investor just wrote one thousand units of $50-strike calls with 100 days to expiration. There is a $40-strike put option with 70 days to expiration written on the same non-dividend-paying underlying stock in the market. The current information of these assets is given as below. Asset 100-day $50-strike Call 70-day $40-strike Put Underlying Stock Unit Price Delta A Gamma I $2 0.4 0.15 $1 -0.2 0.3 $3 The investor makes a Delta-Gamma neutral portfolio with these assets to reduce risk, determine the value of the portfolio. [5 marks]