Consider a put for which T = 0.5 and K = $45. Compute the Greeks and verify that equation (13.9) is zero.
Answer to relevant QuestionsYou own one 45-strike call with 180 days to expiration. Compute and graph the 1-day holding period profit if you delta- and gamma-hedge this position using a 40-strike call with 180 days to expiration. Suppose you sell a 40-strike put with 91 days to expiration. What is delta? If the option is on 100 shares, what investment is required for a delta-hedged portfolio? What is your overnight profit if the stock price ...Repeat the previous problem for a 40-strike 180-day put. Let S = $40, σ = 0.30, r = 0.08, T = 1, and δ = 0. Also let Q = $60, σQ = 0.50, δQ = 0.04, and ρ = 0.5. What is the price of a standard 40-strike call with S as the underlying asset? What is the price of an exchange ...Using the information in the previous problem, compute the prices of a. An Asian arithmetic average strike call. b. An Asian geometric average strike call.
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