12. On Drugher I a Swiss investor decides to hedge a U . portfolio worth $10 million against exchange risk using Swiss franc call options . The spot exchange rate is SET or 50 40 / SEr The Swiss investor can buy November Swiss francs calls with a strike price of All MY / SET at a premium of food per Swiss franc . The size of one contract is SFrom GOD The della of the option is estimated at a . Reflecting this delta how many Swiss franc calls should the investor bay to Ander thu insure the Us . portfolio against the SEr / 3 currency risk ( dynamic of delta hedge ) ? A few days later , the US dollar has dropped to Stre 434 / or 30 41 / SET and the dollar value of the portfolio has remained unchanged at fo million The November 49 ) Swiss franc call is now worth told per Swiss frame and has a delta estimated at this b . What is the result of the hedge How should the hedge be adjusted