A porfolio which consists of long position

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Reference no: EM13713615

Consider a porfolio which consists of long position (buy) of 200 European Call options C1, short position (sell) of 100 European Put options P1.

Delta(C1) = 0.6, delta(P1) = -0.4, T(C1) =2.2, T(P1) =1.5, vega(C1) = 0.25, vega (P1) = 1.8.

1. COmpute delta, T, vega of the portolio.

2. Use position on the option C2 and on the stock to make the portfolio T and delta- neutral.

3. Use position on the option C2 and C3 to make the portfolio both T and vega neutral. Round to the nearest integer values.

Reference no: EM13713615

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