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For FX forwards spot delta is usually equal to around the same amount as the notional amount of the foreign currency, but for a FX
For FX forwards spot delta is usually equal to around the same amount as the notional amount of the foreign currency, but for a FX option the spot delta is around half the value of the notional amount of the foreign currency. Why is this? What is the mathematical explanation?
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Risk Sensitive Investment Management
Authors: Mark H A Davis, Sébastien Lleo
1st Edition
9814578037, 978-9814578035
