Repeat the previous problem for a 40-strike 180-day put.

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Derivatives Markets

ISBN: 9789332536746

3rd Edition

Authors: Robert McDonald

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Question Posted: Aug 12, 2015 02:45 AM

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Repeat the previous problem for a 40-strike 180-day put.

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See Table 4 Note the errors are larger the farther out we go as the theta will be changing With the one day the error is minimal at S 40 because S does not vary and little error due to our theta appro...View the full answer

Derivatives Markets

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