Consider 3 European options, each to buy 1 unit of an underlying stock whose current price...
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Consider 3 European options, each to buy 1 unit of an underlying stock whose current price is 100 and volatility is 30%. The risk-free rate and dividend yield are both zero and the type, strike and maturity (in days) of these options are as follows: Option Type Maturity Put 30 Put 60 Call 90 1 2 3 Strike 90 110 100 (a) Calculate the delta, gamma and vega of each option, and round the results to 3 decimal places. Then display your results in a table, as follows: Option Delta Gamma Vega 1 2 3 Consider 3 European options, each to buy 1 unit of an underlying stock whose current price is 100 and volatility is 30%. The risk-free rate and dividend yield are both zero and the type, strike and maturity (in days) of these options are as follows: Option Type Maturity Put 30 Put 60 Call 90 1 2 3 Strike 90 110 100 (a) Calculate the delta, gamma and vega of each option, and round the results to 3 decimal places. Then display your results in a table, as follows: Option Delta Gamma Vega 1 2 3
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Question Option Delta Gamma Vega 0104 0021 0052 1 2 3 0126 0027 0199 0763 0025 05... View the full answer
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