Consider the Black-Scholes model. What is the gamma of a digital option with payoff 1 ST>K at

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Consider the Black-Scholes model. What is the gamma of a digital option with payoff 1_ST>Kat time T? Why would you not want to delta-hedge such an option?

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Market Practice In Financial Modelling

ISBN: 9789814366540

1st Edition

Authors: Tan Chia Chiang

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Question Posted: Dec 23, 2023 05:21 AM

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Consider the Black-Scholes model. What is the gamma of a digital option with payoff 1 ST>K at

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The BlackScholes model is a mathematical formula used to calculate the price of options It assumes t...View the full answer

Market Practice In Financial Modelling

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