What you should do to maintain delta neutrality

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Question: U.S. bank that has entered into a forward contract with a corporate client where it agreed to sell the client 1 million euros for $1.3 million in one year. Assume that the euro and dollar interest rates are 4% and 3% with annual compounding. Part b: A bank has sold for $300,000 a European call option on 100,000 shares of a non-dividend-paying stock. Suppose the Delta of a call option is 0.55. How can you hedge? Suppose next week the delta changes to 0.45. What you should do to maintain delta neutrality

Reference no: EM133338944

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