For the following values, S = 100, = 8%, o = 15% K = 100...
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For the following values, S = 100, μ = 8%, o = 15% K = 100 R₁ = 3% 25% Implied volatility T = 1 Year No dividends Calculate the delta hedge for a sold position of 100,000 call options like in the book using 100 (or more) trials. Stock paths are generated with RW mean u and RW volatility o. • Calculate the average value and standard deviation of the trials using Weekly (52) steps? • Calculate the average value and standard deviation of the trials using Daily (252) steps? • Compare to the Black-Scholes value? • Redo the analysis with RW o = 20%? • Redo the analysis with RW μ = 4%? For the following values, S = 100, μ = 8%, o = 15% K = 100 R₁ = 3% 25% Implied volatility T = 1 Year No dividends Calculate the delta hedge for a sold position of 100,000 call options like in the book using 100 (or more) trials. Stock paths are generated with RW mean u and RW volatility o. • Calculate the average value and standard deviation of the trials using Weekly (52) steps? • Calculate the average value and standard deviation of the trials using Daily (252) steps? • Compare to the Black-Scholes value? • Redo the analysis with RW o = 20%? • Redo the analysis with RW μ = 4%?
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Calculate the delta hedge for a sold position of 100000 ca ll options like in the book using 100 or ... View the full answer
Related Book For
Income Tax Fundamentals 2013
ISBN: 9781285586618
31st Edition
Authors: Gerald E. Whittenburg, Martha Altus Buller, Steven L Gill
Posted Date:
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