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A financial institution has the following portfolio of over-the-counter options on sterling: Type Position Delta of Option Call A -1,000 0.75 Call B -500 0.80
- A financial institution has the following portfolio of over-the-counter options on sterling:
| Type | Position | Delta of Option |
| Call A | -1,000 | 0.75 |
| Call B | -500 | 0.80 |
| Put A | -2,000 | -0.40 |
- What is the delta of the portfolio?
- A traded call option C is available with a delta of 0.50. What position in the traded call option C would make the portfolio delta neutral?
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American Public School Finance
Authors: William A. Owings, Leslie S. Kaplan
1st Edition
0495807834, 9780495807834
