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QID: #14630
Solution for QID #14630: Consider a portfolio that is delta neutral, with gamma of -5 | StudyHelpMe
Consider a portfolio that is delta neutral, with gamma of -5,000 and a vega of -8,000. A traded option has a gamma of 0.5 and a vega of 2, and delta of 0.6. Second traded option with gamma of 0.8, vega of 1.2 and delta of 0.5. How could the portfolio be made delta, gamma, and vega neutral?
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