Answered step by step
Verified Expert Solution
Question
1 Approved Answer
A bank's position in options on the dollar-euro exchange rate has a delta of 30,000 and a gamma of -81,757. The exchange rate (dollars
A bank's position in options on the dollar-euro exchange rate has a delta of 30,000 and a gamma of -81,757. The exchange rate (dollars per euro) is 0.90. For delta neutrality 30,000 euros should be shorted. After a short period of time, the exchange rate moves to 0.87. What is the new delta? Enter your answer rounded to the nearest integer. For example, if your calculation results in 98,765 - you only need to enter 98765
Step by Step Solution
There are 3 Steps involved in it
Step: 1
Get Instant Access to Expert-Tailored Solutions
See step-by-step solutions with expert insights and AI powered tools for academic success
Step: 2
Step: 3
Ace Your Homework with AI
Get the answers you need in no time with our AI-driven, step-by-step assistance
Get Started