Question
Assume a bank has bought a call option on bonds with a notional value of $200. Further assume that the delta of the option is
Assume a bank has bought a call option on bonds with a notional value of $200. Further assume that the delta of the option is calculated at 0.45 and a beta of 2. (i) What is the contingent asset value (round to two decimals)?(ii) how would you interpret the delta of 0.45?
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Principles of Finance
Authors: Scott Besley, Eugene F. Brigham
5th edition
1111527369, 978-1111527365
