New answers tagged delta
1
I am not sure what you mean with share of one call and put.
Based on the later formula I assume you have on underlying unit, plus a call and put which also has one share as notional value.
Spot has delta 1
Call 0.45
Put -0.14
Overall is sum of all deltas, here 1.31.
1
This will be too late for your thesis but you mix up a few concepts. If it does not help you anymore, it may help others.
Spot does not have delta (well it is delta one, as delta is defined as the change in value due to change in spot - hence, logically spot delta is 1, as you ask for change in spot for change in spot).
FX options are actually quoted in ...
0
The above answers are correct in explaining how premium adjustment works.
However:
EURUSD is generally not Premium delta adjusted (the paper, albeit dated, from and Dmitri Reiswich and Uwe Wystup that was provided above actually confirms that)
The choice of premium currency therefore also has no impact on the delta level
If your vendor / pricer of choice ...
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