Determine the limiting value of gamma as we approach maturity (i.e., find lim T0 ) for each

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Determine the limiting value of gamma as we approach maturity (i.e., find lim_T→0Γ) for each of the following options:

(a) A deep in-the-money European call option

(b) A deep out-of-the-money European call option

For each option, provide an intuitive explanation and a mathematical explanation.

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Derivative Pricing

ISBN: 9780367734213

1st Edition

Authors: Ambrose Lo

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Question Posted: Nov 22, 2023 08:17 AM

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Determine the limiting value of gamma as we approach maturity (i.e., find lim T0 ) for each

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Gamma is the rate of change of delta and it measures the sensitivity of the options price to changes ...View the full answer

Derivative Pricing

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