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(Solved by Expert Tutors) consider a porfolio which consists of long position (buy) of 200 Europe


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.There are two more call option availabe on the market, C2 and C3 with delta(C2)=0.25, delta(C3)=0.8, T(C2)=1.4, T(C3) = 2.5, vega(C2) =0.7, vega(C3)=0.61. 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.

 

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Apr 19, 2020

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