First calculate the delta of the following option. Then use this delta to ESTIMATE the new price of a European call option if the stock price increases by $4. The option has the following the following initial parameters: s0 = $40k = $44 r = 10%sigma = 20%T = 0.75 years (required precision 0.01 +/- 0.01) Greeks Reference Guide: Delta = ∂π/∂S Theta = ∂π/∂t Gamma = (∂2π)/(∂S2) Vega = ∂π/∂σ Rho = ∂π/∂r
First calculate the delta of the following option. Then use this delta to ESTIMATE the new price of a European call option if the stock price increases by $4. The option has the following the following initial parameters: s0 = $40k = $44 r = 10%sigma = 20%T = 0.75 years (required precision 0.01 +/- 0.01) Greeks Reference Guide: Delta = ∂π/∂S Theta = ∂π/∂t Gamma = (∂2π)/(∂S2) Vega = ∂π/∂σ Rho = ∂π/∂r
Essentials Of Investments
11th Edition
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Chapter1: Investments: Background And Issues
Section: Chapter Questions
Problem 1PS
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First calculate the delta of the following option. Then use this delta to ESTIMATE the new price of a European call option if the stock price increases by $4. The option has the following the following initial parameters:
s0 = $40
k = $44
r = 10%
sigma = 20%
T = 0.75 years
(required precision 0.01 +/- 0.01)
Greeks Reference Guide:
- Delta = ∂π/∂S
- Theta = ∂π/∂t
- Gamma = (∂2π)/(∂S2)
- Vega = ∂π/∂σ
- Rho = ∂π/∂r
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