Today is June 4, 2020. Stock X is selling at $150 per share. The stock has a dividend yield of 5% per year. There is a call option with an August 18, 2020 expiration date and exercise price of $145, with an implied volatility of 20%. The annual risk-free rate is 1%, compounded continuously. Shares and options can only be bought and sold in whole numbers. This problem requires the use of the NOrmal Probability Table. Calculate the delta, gamma, rho, and vega for this 145-call option. The
S3 Q10
Today is June 4, 2020. Stock X is selling at $150 per share. The stock has a dividend yield of 5% per year. There is a call option with an August 18, 2020 expiration date and exercise price of $145, with an implied volatility of 20%. The annual risk-free rate is 1%, compounded continuously. Shares and options can only be bought and sold in whole numbers.
This problem requires the use of the NOrmal Probability Table.
Calculate the delta, gamma, rho, and vega for this 145-call option. The formulas for gamma, rho and vega are:
Gamma = ((exp(-(d1^2)/2))
((SO' std. dev. sqrt(2T))
Rho = T X ((exp(-rc T)) N(d2)
Vega = (SO'sqrt(T) exp(-(d1^2)/2))
(sqrt(2) )
where: = 3.141592654.
Note: Please provide intermediate calculations
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