|Option type||position||strike price||time to expiration (years)||Number of contracts||Gamma||Vega|
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?