Delta of long forward contract on one share of the stock

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Reference no: EM131927554

The price of a non-dividend-paying stock is $49. Consider European call and put options underlying the stock with a strike price of $50. The risk-free rate is 6% and the volatility of the stock is 25%. Both options expire in 9 months. If you have written a European call option, what position should you take to make the portfolio delta-neutral? If you have written a European put option, what position should you take to make the portfolio delta-neutral? The concept of delta can be applied to derivatives other than options. A more general definition for the delta of a derivative will be: Δ=(Changes in derivative value)/(Changes in underlying asset value) Find the delta of a long forward contract on one share of the stock.

Reference no: EM131927554

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