Find the Number of Eurodollar Futures Each Having a Delta

question 20

Multiple Choice

Find the number of Eurodollar futures each having a delta of -$25 that would delta-hedge a portfolio of a long position in swaps with a delta of $5,000 and a short position in a put option with a delta of -$2,300.

• A)long 292 contracts
• B)short 108 contracts
• C)short 292 contracts
• D)long 200 contracts
• E)long 108 contracts

---

Definitions:

Marginal Cost

The cost incurred by producing one additional unit of a product or service.

Marginal Benefit

The additional satisfaction or utility gained by consuming an additional unit of a good or service.

Marginal Cost

The extra expense involved in creating an additional unit of a product or service.

Constant Marginal Costs

A situation where the cost of producing one more unit of a good or service remains unchanged regardless of the volume of production.