Assuming I have a USDJPY put option at strike 100 (1USD = 100Yen) and the delta is D1. What is the delta of a corresponding JPYUSD call option at strike 0.01 (1Yen = 0.01USD) with the same maturity? Would it be related to D1?
Thank you very much!
1
-
$\begingroup$ The two deltas add up to one. Just like the deltas of a put and a call with same strike add up to one. The call on JPYUSD can be seen as a put on USDJPY. $\endgroup$– Alex COct 15, 2016 at 19:42
Add a comment
|
1 Answer
$\begingroup$
$\endgroup$
Since I'm not a FX guru I need to prove the comment of @alex c
A USDJPY 100 call on one dollar has payoff:
max(0, FX-100) Yen
where FX=USDJPY at maturity. A JPYUSD 0.01 call on one Yen has payoff
max(0, 1/FX - 0.01) Dollars = 0.01/FX * max(0,100 - FX) Dollars = 0.01 * max(0,100 - FX) Yen
which is the same as a USDJPY 100 put on 0.01 dollars, as suggested.
