1. 

   Edwin Member

   Hello,
   
   I really need help in understanding the solution to this question, I don't see how exp(rT*) Futures have the same Delta as one share, to begin with?
   
   I also don't understand how the part that says H_F = H_A*exp(rT*) was arrived at?

    

   Last edited by a moderator: Dec 26, 2012

   Edwin, Dec 26, 2012

   #1
2. 

   Edwin Member

   ACTED's q&a bank 4.5 confirms the examiner's solution has a typo.

    

   Edwin, Mar 10, 2013

   #2

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