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An Australian financial institution has a long position in 1,100 call options and written 1,500 call options and written 1,300 put options on the same currency. (Each option is to buy or sell 1 EUR.) The long call options have a delta of 0.6 and gamma of 1.0 while the written call options have a delta of 0.5 and gamma of 1.5. The written put options have a delta of -0.4 and gamma of 1.6.
i) Calculate the portfolio's delta and gamma
ii) Show how the institution can use an exchange-traded call option on the EUR with a delta of 0.55 and gamma of 1.3 to make its portfolio delta and gamma neutral.
Finance is about Gunns Ltd, a company in dealing with forestry products in Australia. The company has also been listed in Australian Stock Exchange. As many companies producing forestry products, even Gunns Ltd is facing various problems. Due to the ..
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