Compute the Delta and Gamma of the put and plot them on two seperate graphs for...

 

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Compute the Delta and Gamma of the put and plot them on two seperate graphs for a range of spot S&P 500 prices ranging from $2,000 to $4,000. The Gamma represents the sentivity of the Delta, i.e. the sensitivity of the Delta-hedging strategy that the investment bank has to implement in order to replicate the put payoff. What can you say about the sensitivity of the put replicating strategy when the option is at the money, i.e. when the spot price So is around the strike? Compute the Delta and Gamma of the put and plot them on two seperate graphs for a range of spot S&P 500 prices ranging from $2,000 to $4,000. The Gamma represents the sentivity of the Delta, i.e. the sensitivity of the Delta-hedging strategy that the investment bank has to implement in order to replicate the put payoff. What can you say about the sensitivity of the put replicating strategy when the option is at the money, i.e. when the spot price So is around the strike?

Answer rating: 100% (QA)

To compute the Delta and Gamma of the put and plot them we need additional information such as the strike price volatility riskfree rate and time to e... View the full answer