A financial institution has just sold 1,000 seven month European call options on the Japanese yen Suppose that the spot exchange rate is 0 80 cent per yen, the exercise price is 0 81 cent per yen, the risk free interest rate in the United States is 8 per annum, the risk free interest rate in Japan ...

In this case The delta of one call option is so that the gamma of one call option is The vega of one ...

A financial institution has just sold 1,000 seven-month European call options on the Japanese yen. Suppose that

Question:

A financial institution has just sold 1,000 seven-month European call options on the Japanese yen. Suppose that the spot is 0.80 cent per yen, the exercise price is 0.81 cent per yen, the risk-free interest rate in the United States is 8% per annum, the risk-free interest rate in Japan is 5% per annum, and the volatility of the yen is 15% per annum. Calculate the delta, gamma, vega, theta, and rho of the financial institution’s position. Interpret each number. Exchange Rate
The value of one currency for the purpose of conversion to another. Exchange Rate means on any day, for purposes of determining the Dollar Equivalent of any currency other than Dollars, the rate at which such currency may be exchanged into Dollars...