How could the portfolio be made delta-gamma and vega neutral

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Reference no: EM131021852

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 delat of 0.5. How could the portfolio be made delta, gamma, and vega neutral?

Reference no: EM131021852

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