Suppose that spot gold is at 350. Suppose the volatility of the return on gold is...
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Suppose that spot gold is at 350. Suppose the volatility of the return on gold is 15%, and the 90-day risk free rate is 4% (not annualized). a. Compute Gamma, Vega and Theta, for call and puts for the following gold prices: 330, 340, 350, 360, 370 (use the option with K = 350). b. Compute Gamma, Vega and Theta, for calls and puts, for the following times to expiration: 30, 60, 90, 120, 150 (use K= 350, S = 350) What have you learned from this exercise? Suppose that spot gold is at 350. Suppose the volatility of the return on gold is 15%, and the 90-day risk free rate is 4% (not annualized). a. Compute Gamma, Vega and Theta, for call and puts for the following gold prices: 330, 340, 350, 360, 370 (use the option with K = 350). b. Compute Gamma, Vega and Theta, for calls and puts, for the following times to expiration: 30, 60, 90, 120, 150 (use K= 350, S = 350) What have you learned from this exercise?
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