What is the gamma of a European call option with the following parameters? As a reminder, gamma is defined as the first derivative of delta with respect to the stock price, or alternatively as the second derivative of the option price with respect to the stock price. s0 = $40k = $40 r = 10%sigma = 20%T = 0.75 years In order to avoid precision issues with Excel, please use an epsilon of 0.0001. (required precision 0.0001 +/- 0.0002) Greeks Reference Guide: Delta = ∂π/∂S Theta = ∂π/∂t Gamma = (∂2π)/(∂S2) Vega = ∂π/∂σ Rho = ∂π/∂r
What is the gamma of a European call option with the following parameters? As a reminder, gamma is defined as the first derivative of delta with respect to the stock price, or alternatively as the second derivative of the option price with respect to the stock price. s0 = $40k = $40 r = 10%sigma = 20%T = 0.75 years In order to avoid precision issues with Excel, please use an epsilon of 0.0001. (required precision 0.0001 +/- 0.0002) 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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What is the gamma of a European call option with the following parameters?
As a reminder, gamma is defined as the first derivative of delta with respect to the stock price, or alternatively as the second derivative of the option price with respect to the stock price.
s0 = $40
k = $40
r = 10%
sigma = 20%
T = 0.75 years
In order to avoid precision issues with Excel, please use an epsilon of 0.0001.
(required precision 0.0001 +/- 0.0002)
Greeks Reference Guide:
- Delta = ∂π/∂S
- Theta = ∂π/∂t
- Gamma = (∂2π)/(∂S2)
- Vega = ∂π/∂σ
- Rho = ∂π/∂r
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