Question: please answer this question Q B4: Marks 20 a) A bank's position in options on the dollar/euro exchange rate has a delta o 20,000 and

 please answer this question Q B4: Marks 20 a) A bank's

please answer this question

Q B4: Marks 20 a) A bank's position in options on the dollar/euro exchange rate has a delta o 20,000 and gamma of -50,000. The exchange rate (dollars per tro) is 0.90. What position would entil delta neutrality? After a short period of time, the exchange rate moves to 093. Estimate the new delta. What additional trade is necessary to keep the position delta neutral? Asuming the bank did set up a delta-neutral position originally, has it gained or lost money from the exchange rate morenent

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