Consider a porfolio which consists of long position (buy) of 200 European 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.
1. 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.