Consider a put for which T = 0.5 and K = $45. Compute the Greeks and verify

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Consider a put for which T = 0.5 and K = $45. Compute the Greeks and verify that equation (13.9) is zero.

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Derivatives Markets

ISBN: 978-0321543080

4th edition

Authors: Rober L. Macdonald

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Question Posted: Dec 18, 2015 05:07 AM

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Consider a put for which T = 0.5 and K = $45. Compute the Greeks and verify

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Market-maker profiに-(-σ-er, +g + r [A,S,-C(SJ] ) h

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Using the given parameters a sixmonth 45strike put has a price and Greeks of ...View the full answer

Derivatives Markets

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