The answer should be B, B, which is a dynamic hedging problem. If the answer is correct, it should be calculated as follows: first, if you hold euros and expect to convert them into dollars, then you are at risk of depreciation of the euro. According to Taylor's expansion, delta is the first derivative, so the initial contract number is 1 ten thousand * 1 (asset delta)=6.25*-0.83*N (contract number1; The number of changed contracts is 1 ten thousand * 1 (asset increment) = 6.25 *-0.9 * n (total number of new contracts); The calculated results are-19.2 and-17.7 respectively. The contract was changed to 1.5 copies. The exchange rate changed from 1.2888 USD/Euro to 1.276 USD/Euro, and the Delta changed from -0.83 to -0.9. We can know that the contract quotation method is also A$/ Euro, the depth is real, and the delta is close to 1. That is to say, at first I bought the 19.2 contract, and later DELTA changed the requirement for the 17.7 contract, so I sold the10.5 contract. Answer B. The same is true of the second question.
Even if my calculation is wrong, my thinking should be correct. Firstly, to determine the variable value of assets, the implicit condition is that the delta of assets is 1. Taylor expansion is the first-order and second-order valuation formula of DELTA gamma to calculate the variable value of option contract, and the contract number is the asset value divided by the contract value. Then it is to judge the price of the contract, that is, whether the delta change is consistent with the topic. Calculate the change amount of the contract according to the last set of hedging numbers and the changed hedging numbers. PS: generally, foreign exchange is quoted at USD A/RMB. The spot exchange rate you gave me was wrong. At first, I thought that 1 USD was equal to 1.2888 Euro, and the benefits of the appreciation of the Euro were offset.
If there is anything wrong, please forgive me and leave a message for discussion.