Jawaban dari "A bank’s position in options on the dollar–euro exchange rate has a delta of 30,000 and a gamma of −..."

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Jawaban:

Posisi bank dalam opsi pada nilai tukar dolar-euro memiliki delta 30.000 dan gamma −80.000. Jelaskan bagaimana angka-angka ini dapat ditafsirkan. Nilai tukar (dolar per euro) adalah 0,90. Posisi apa yang akan Anda ambil untuk membuat posisi delta netral? Setelah periode waktu yang singkat, nilai tukar bergerak ke 0,93. Perkirakan delta baru. Perdagangan tambahan apa yang diperlukan untuk menjaga posisi delta netral? Dengan asumsi bank benar-benar membuat posisi delta-netral, apakah bank memperoleh atau kehilangan uang dari pergerakan nilai tukar?