help in homework

New User?

Fill This Form To Receive Instant Help

Help in Homework
trustpilot ratings
google ratings


Homework answers / question archive / York University - MFIN 5800 A financial institution has the following portfolio of over-the-counter options on sterling: Type Position Delta of option Gamma of option Vega of option Call -1,000 0

York University - MFIN 5800 A financial institution has the following portfolio of over-the-counter options on sterling: Type Position Delta of option Gamma of option Vega of option Call -1,000 0

Finance

York University - MFIN 5800

A financial institution has the following portfolio of over-the-counter options on sterling:

Type

Position

Delta of option

Gamma of option

Vega of option

Call

-1,000

0.50

2.2

1.8

Call

-500

0.80

0.6

0.2

Put

-2,000

-0.40

1.3

0.7

Call

-500

0.70

1.8

1.4

A traded option is available with a delta of 0.6, a gamma of 1.5, and a vega of 0.8.

  1. What position in the traded option and in sterling would make the portfolio both gamma neutral and delta neutral?
  2. What position in the traded option and in sterling would make the portfolio both vega neutral and delta neutral?

Option 1

Low Cost Option
Download this past answer in few clicks

4.87 USD

PURCHASE SOLUTION

Already member?

Option 2

Custom new solution created by our subject matter experts

GET A QUOTE

rated 5 stars

Purchased 7 times

Completion Status 100%
View Answer

Sitejabber (5.0)

BBC (5.0)

Trustpilot (4.9)

Google (5.0)