# Question: Consider a 40 strike 180 day call with S 40 Compute

Consider a 40-strike 180-day call with S = $40. Compute a delta-gamma-theta approximation for the value of the call after 1, 5, and 25 days. For each day, consider stock prices of $36 to $44.00 in $0.25 increments and compare the actual option premium at each stock price with the predicted premium. Where are the two the same?

## Relevant Questions

Repeat the previous problem for a 40-strike 180-day put. Consider the hedging example using gap options, in particular the assumptions and prices in Table 14.4. a. Implement the gap pricing formula. Reproduce the numbers in Table 14.4. b. Consider the option withK1= $0.8 andK2 = ...Suppose you observe the prices {5, 4, 5, 6, 5}. What are the arithmetic and geometric averages? Nowyou observe {3, 4, 5, 6, 7}. What are the two averages? What happens to the difference between the two measures of the ...Let S = $40, K = $45, σ = 0.30, r = 0.08, δ = 0, and T = {0.25, 0.5, 1, 2, 3, 4, 5, 100}. a. Compute the prices of knock-out calls with a barrier of $38. b. Compute the ratio of the knock-out call prices to the prices of ...Using the information in Table 15.5, suppose we have a bond that after 2 years pays one barrel of oil plus λ × max(0, S2 − 20.90), where S2 is the year-2 spot price of oil. If the bond is to sell for $20.90 and oil ...Post your question