Question: Consider the gap put in Figure 14.4. Using the technique in Problem 12.11, compute Vega for this option at stock prices of $90, $95, $99,

Consider the gap put in Figure 14.4. Using the technique in Problem 12.11, compute Vega for this option at stock prices of $90, $95, $99, $101, $105, and $110, and for times to expiration of 1 week, 3 months, and 1 year. Explain the values you compute. Discuss.

Step by Step Solution

★★★★★

3.43 Rating (162 Votes )

There are 3 Steps involved in it

1 Expert Approved Answer

Step: 1 Unlock

Using 30 r 8 and 0 For threemonth and oneyear gap put options the option value incr... View full answer

Question Has Been Solved by an Expert!

Get step-by-step solutions from verified subject matter experts

Step: 2 Unlock

Step: 3 Unlock

Document Format (1 attachment)

727-B-B-F-M (4166).docx

120 KBs Word File

Students Have Also Explored These Related Banking Questions!

Consider an American put option on XAL stock with a strike price of $55 and one year to expiration. Assume XAL pays no dividends, XAL is currently trading for $10 per share, and the one-year interest...

Consider the following data 12 14 12 11 14 13 12 812 14 12 11 14 13 12 8 Copy Data Step 2 of 3 Determine the median of the given data

Consider a European put option with maturity date time 3 and strike price $0.93 on the three-period zero-coupon bond. What is the value of this put option?

Consider the gap put in Figure 14.4. Using the technique in Problem 12.11, compute vega for this option at stock prices of $90, $95, $99, $101, $105, and $110, and for times to expiration of 1 week,...

1. Calculate the cost of each capital component, after-tax cost of debt, cost of preferred, and cost of equity with the DCF method and CAPM method. 2. What do you estimate the company?s WACC? Please...

1 MATH3075 Mathematical Finance (Normal) Due by 4 pm on Thursday, September 17, 2015 1. [10 marks] Elementary market model. Consider a single-period two-state market model M = (B, S) with the two...

Instructions for Emailing Homework - Please follo 1. Do NOT send your homework to my email address. Excel homework must be emailed to huxleyqba time and due date shown on the homework. Late homework...

PowerPoint Assignment for BUS 401: Principles of Finance You have been asked by a manager in your organization to put together a training program explaining Net Present Value (NPV) and Future Value...

I am working on a homework problem and am stumped on part B. Kim hotels is interested in developing a new hotel in seoul. The company estimates that the hotel would require an initial investment of...

I need a step by step solutions for the 10 problems in the excel file. The correct answers are provided I only need the solutions steps. Subject is Finance (options valuation) On March 2, a Treasury...

Describe the expectation gap.

Select a product, line of products, or brand from a company of your choice and research the companys social media marketing strategies. Carefully examine the social media presence for the product. In...

Which of the following will appear as a positive amount on a statement of cash flows that was prepared using the indirect method? A ) An increase in accounts receivable B ) Depreciation expense C ) A...

Explain the accounting for notes receivables?

Create a portfolio of at least two options on the same futures and evaluate the position in terms of the position's OPM value, delta, gamma, and theta. On the OVME screen, click the + icon next to...

Using the OVME screen for the call and put option you evaluated in Exercise 4, evaluate the Greeks for different futures prices and time to expiration by clicking the "Scenario" tab and setting the...

Using Bloomberg's OVME screen, estimate the equilibrium price on a selected call and put futures index. For information on how to find options from the SECF and CTM screens and how to upload the...

Many celebrities in public figures have Twitter accounts with large number of followers. However, some of these followers are fake, resulting from accounts generated by spam and computers. In a...

The Pebble Beach Company purchased a new machine for $25,000. The useful life of the machine is 5 years and the salvage value is $5,000. Compute the depreciation expense for year 1 and the book value...

Explain carefully why the data observed in the goodness of fit test might not come from a Binomial distribution, making reference to likely relevant characteristics of real training classes. So the...