EFTA Document EFTA01393139

based option can theoretically offset most of the risk of his writing position by acquiring Treasury securities of the designated maturity period on which the underly- ing yield is based. Offsetting risk in this way may be difficult to do in practice, however. While it is possible at any given time to calculate the principal amount of Treasury securities needed lo assure that the risk of the option position is offset, such calculations are based upon complex mathematical relationships. Mo