Show that the delta of the price of an American put option on an asset which pays a continuous dividend yield at the rate q is given by Examine the sign of the delta of the early exercise premium when r q and r as where N( d) d dg, 1 6 9)e q 2 In ( r q ) x (r q ) OT In 5 ( ) (r q 7 ) O E qe9 N( d,1...

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Show that the delta of the price of an American put option on an asset which pays

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Show that the delta of the price of an American put option on an asset which pays a continuous dividend yield at the rate q is given by

as where =-N(-d) d = dg, 1 = 6. [ - 9)e-q 2 In & + ( r q + ) x (r-q+) OT In 5 (-) + (r-q+7) O E + qe9

Examine the sign of the delta of the early exercise premium when r ≥ q and r

ap as = 1 S 2 + e-d/2 (r-q)e-95 So 2 1. [150 -d.le qe q So 2 + e 41 de. Find similar expressions for and

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Related Book For answer-question

Mathematical Models Of Financial Derivative

ISBN: 9783642447938

2nd Edition

Authors: Yue-Kuen Kwok

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Question Posted: Dec 05, 2023 01:13 AM

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Show that the delta of the price of an American put option on an asset which pays

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ар as where =-N(-d₁) d₁ = dg, 1 = 6. [² - 9)e-q συ2πξ In & + ( r − q + ¥ ) x¸ (r-q+) O√T In 5 (-) + (r - q + 7 ) § O √E + qe¬9² N(-d£,1)] d². de,2 = d.1 - o√.

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Mathematical Models Of Financial Derivative

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