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What position is the traded option and in pounds sterling

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A financial institution has the following portfolio of over-the-counter derivatives on pounds sterling: Type Position Delta of Option/Forward Gamma of Option/Forward Vega of Option/Forward Call -1,000 0.5 2.2 1.8 Put -2,000 -0.4 1.3 0.7 Call -500 0.7 1.8 1.4 Forward 1,000 -1 0 0 A traded option is available with a delta of 0.6, a gamma of 1.5, and a vega of 0.8.

(a) What position is the traded option and in pounds sterling would make the portfolio both gamma neutral and delta neutral?

Reference no: EM133109853

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