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A bank's position in options on the dollar-euro exchange rate has a delta of 30,000 and a gamma of -88,500. The exchange rate (dollars per
A bank's position in options on the dollar-euro exchange rate has a delta of 30,000 and a gamma of -88,500. The exchange rate (dollars per euro) is 0.90. For delta neutrality 30,000 euros should be sh...
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