Maurice Tutor

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    Argosy University/ Phoniex University/
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    Phoniex University
    Oct-2001 - Nov-2016

Category > Management Posted 22 Feb 2018 My Price 4.00

dollar-euro exchange rate

A bank's position in options on the dollar-euro exchange rate has a delta of 30.000 and a gamma of —80.000. Explain how these numbers can be interpreted. The exchange rate (dollars per taro) is 0.90. What position would you take to make the position delta neutral? After a alien period of time, the exchange rate mows to 0.93. Estimate the new delta. What additional trade is necessary to keep the position delta neutral? Assuming the bank did set up a delta-neutral position originally, has it gained or lost money from tit. exchange-rate movement?

 

 

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Maurice Tutor
(5)
Status NEW Posted 22 Feb 2018 09:02 PM My Price 4.00

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