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Category > Business & Finance Posted 05 May 2017 My Price 5.00

European call options on silver futures

In Problem 18.10, what initial position in 9-month silver futures is necessary for delta hedging? If silver itself is used, what is the initial position? If 1-year silver futures are used, what is the initial position? Assume no storage costs for silver.

Problem 18.10:

What is the delta of a short position in 1,000 European call options on silver futures? The options mature in 8 months, and the futures contract underlying the option matures in 9 months. The current 9-month futures price is $8 per ounce, the exercise price of the options is $8, the risk-free interest rate is 12% per annum, and the volatility of silver is 18% per annum.

 

 

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Alpha Geek
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Status NEW Posted 05 May 2017 02:05 PM My Price 5.00

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file 1493996282-1873692_1_636295461081914751_Solution.docx preview (30 words )
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