Recall that, under the B-S assumptions, the A, I, and v of the call are Acall...
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Recall that, under the B-S assumptions, the A, I, and v of the call are Acall = до = (d₁), as $(d1) I call = as² So√T-t' до V call = = So(d₁)√T-t. do 1. Use put-call parity to derive the expression for price of the put, p (not in terms of c). 2. Derive the put's delta, Aput. Does it have the same sign as the call's? Explain why or why not. 3. Derive the put's gamma, Пput. Does it have the same sign as the call's? Explain why or why not. 4. Derive the put's vega, Vput. Does it have the same sign as the call's? Explain why or why not. 5. Relate your answers to the previous two questions. How could you have answered one without doing any calculations? Recall that, under the B-S assumptions, the A, I, and v of the call are Acall = до = (d₁), as $(d1) I call = as² So√T-t' до V call = = So(d₁)√T-t. do 1. Use put-call parity to derive the expression for price of the put, p (not in terms of c). 2. Derive the put's delta, Aput. Does it have the same sign as the call's? Explain why or why not. 3. Derive the put's gamma, Пput. Does it have the same sign as the call's? Explain why or why not. 4. Derive the put's vega, Vput. Does it have the same sign as the call's? Explain why or why not. 5. Relate your answers to the previous two questions. How could you have answered one without doing any calculations?
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1 Using putcall parity we have P S C X1 rT Rearranging the equation we can solve for the price of th... View the full answer
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