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A financial institution has the following portfolio of over - the - counter options on GBP ( sterling , UK currency ) : A traded
A financial institution has the following portfolio of overthecounter options on GBP
sterling UK currency:
A traded option is available with a delta of a gamma of and a vega of
To make the portfolio both gammaneutral and deltaneutral, you will take a longshort
position in the traded option. You will also take a longshort position in GBP How many
GBP ie don't worry about LS just write how many GBP
Assume that all implied volatilities change by the same amount so that vegas can be
aggregated.
Enter your answer rounded to the nearest integer, skip the currency sign. For example, if your
calculation results in GBP you only need to enter
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