A trader in the United States has a portfolio of derivatives on the Australian dollar with a delta of 456. The USD and AUD risk free interest rates are 5% and 8%. What position in a one-year futures contract on the Australian dollar creates a delta-neutral position? Question 12 options: Long 469.9 Short 469.9 Short 310 None of the above

A trader in the United States has a portfolio of derivatives on the Australian dollar with a delta of 456. The USD and AUD risk free interest rates are 5% and 8%. What position in a one-year futures contract on the Australian dollar creates a delta-neutral position? Question 12 options: Long 469.9 Short 469.9 Short 310 None of the above

International Financial Management

14th Edition

ISBN:9780357130698

Author:Madura

Publisher:Madura

Chapter5: Currency Derivatives

Section: Chapter Questions

Problem 27QA

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A trader in the United States has a portfolio of derivatives on the Australian dollar with a delta of 456. The USD and AUD risk free interest rates are 5% and 8%. What position in a one-year futures contract on the Australian dollar creates a delta-neutral position? Question 12 options:

Long 469.9

Short 469.9

Short 310

None of the above

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