| Option type | position | strike price | time to expiration (years) | Number of contracts | Gamma | Vega |
| call | long | 780 | 0.5 | 700 | 1.35 | 0.25 |
| put | long | 750 | 0.5 | 500 | 1.20 | 0.5 |
| call | short | 710 | 0.25 | 250 | 0.95 | 0.9 |
| call | long | 700 | 0.25 | 700 | 1.20 | 1.3 |
There are currently two traded options available in the market:
Option A has a Delta of 0.8, a Gamma of 1.1, and a Vega of 0.45.
Option B has a Delta of 1.15, a Gamma of 0.95, and a Vega of 0.97.
The risk-free rate is 10% per annum and the volatility of the underlying asset is 40%. Based on the information provided, answer the following questions (show all the details of your calculations and present your results with four decimal places):
c) How can the financial institution make this portfolio delta-gamma-vega neutral using traded options A and B?