
Financial Risk Manager Part 1
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The company decides to use the exchange-traded futures instead of the underlying itself to delta-hedge the option position. In order to make the option position delta-neutral, how many futures contracts should the company long or short? Suppose that the current risk-free rate is 3%, and both the options and futures are due in six months.
The company decides to use the exchange-traded futures instead of the underlying itself to delta-hedge the option position. In order to make the option position delta-neutral, how many futures contracts should the company long or short? Suppose that the current risk-free rate is 3%, and both the options and futures are due in six months.
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