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Is a value of n that will make new portfolio delta neutral

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Consider a stock with 42% yearly volatility and a current price of 437.5, moreover, the annual risk-free rate is r=0.0125.  Assume we want to build a new portfolio with 3 call options with strike K1=420 and n put options with strike K2=460 all these options have one-year maturity.

Problem 1: Is there a value of n that will make this new portfolio delta neutral? If yes find n. (n should be rounded to the closest integer value.)

Reference no: EM132971154

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