A collect-on-delivery call (COD) costs zero initially, with the payoff at expiration being 0 if S
Question:
a. Value a European COD call option with the above inputs.
b. Compute delta and gamma for a COD option. (You may do this by computing the value of the option at slightly different prices and calculating delta and gamma directly, rather than by using a formula.) Consider different stock prices and times to expiration, in particular setting t close to T.
c. How hard is it to hedge a COD option?
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