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A financial institution has the following portfolio of over-the counter option on ste
A financial institution has the following portfolio of over-the counter option on sterling:
Type position delta gamma vega Call -1000 0.50 2.2 1.8 Call -500 0.80 0.6 0.2 Put -2000 -0.40 1.3 0.7 Call -500 0.70 1.8 1.4 A traded option is available with a delta of 0.6, a gamma of 1.5, and a vega 0.8. - What position in the traded option and in sterling would make the portfolio both gamma and delta neutral? - How would you neutralize both vega and delta? -------------------------------------------------------------------------------- |
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