Question: Assume a bank has bought a call option on bonds with a notional value of $200. Further assume that the delta of the option is

Assume a bank has bought a call option on bonds with a notional value of $200. Further assume that the delta of the option is calculated at 0.45 and a beta of 2. (i) What is the contingent asset value (round to two decimals)?(ii) how would you interpret the delta of 0.45?

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