The investor position in options for 100,000 units of the underlying instrument has the following characteristics:...
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The investor position in options for 100,000 units of the underlying instrument has the following characteristics: the delta is -30000 and the gamma is -80000. The current price of the underlying instrument is 105 PLN. a) What are the so-called Greek coefficients and what are their application in investments on the option market - please give a short synthetic answer? (3 points) b) What position does the investor need to take in the underlying instrument to immunize the portfolio against small changes in the price of the underlying? What will the gamma of this portfolio be in this situation? (4 points) c) Referring to the situation from point b): In a short time the price of the underlying instrument increased to 105.04 PLN. Remembering that: y calculate the approximate new delta for this portfolio. What adjustment should be made after a price change if the investor would like to return to the delta neutral portfolio again? (3 points) The investor position in options for 100,000 units of the underlying instrument has the following characteristics: the delta is -30000 and the gamma is -80000. The current price of the underlying instrument is 105 PLN. a) What are the so-called Greek coefficients and what are their application in investments on the option market - please give a short synthetic answer? (3 points) b) What position does the investor need to take in the underlying instrument to immunize the portfolio against small changes in the price of the underlying? What will the gamma of this portfolio be in this situation? (4 points) c) Referring to the situation from point b): In a short time the price of the underlying instrument increased to 105.04 PLN. Remembering that: y calculate the approximate new delta for this portfolio. What adjustment should be made after a price change if the investor would like to return to the delta neutral portfolio again? (3 points)
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Related Book For
Advanced Accounting
ISBN: 978-0538480284
11th edition
Authors: Paul M. Fischer, William J. Tayler, Rita H. Cheng
Posted Date:
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