A stock is currently selling for $40. The stock pays no dividends. Given that the volatility...
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A stock is currently selling for $40. The stock pays no dividends. Given that the volatility of the stock relevant for the Black-Scholes equation is 30% and the continuously compounded risk-free interest rate is 8%. Consider a $45-strike purchased call on the stock with time to expiration in 6 months. What are the delta, gamma, and vega? A stock is currently selling for $40. The stock pays no dividends. Given that the volatility of the stock relevant for the Black-Scholes equation is 30% and the continuously compounded risk-free interest rate is 8%. Consider a $45-strike purchased call on the stock with time to expiration in 6 months. What are the delta, gamma, and vega?
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Answer rating: 100% (QA)
To calculate the delta gamma and vega of the call option we can use the BlackScholes formula The for... View the full answer
Related Book For
Corporate Finance
ISBN: 978-0071339575
7th Canadian Edition
Authors: Stephen Ross, Randolph Westerfield, Jeffrey Jaffe, Gordon Ro
Posted Date:
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