微信扫一扫
实时资讯全掌握
|
Phil Johnson, CFA, is a portfolio manager in the United States and has implemented a delta hedge strategy using put contracts on his ₤2,000,000 security portfolio. The delta is -0.667, and Johnson used this value in composing his delta hedge using put contracts. The value of the pound increases from $2.00/₤ to $2.10/₤. If the delta hedge works perfectly, then the change in the value of each put on each British pound will be closest to a/an: A. increase of $0.07. B. decrease of $0.07. C. decrease of $0.03. |