Question: Exercise 1.6 - Dynamic Delta Hedging For the following values, 5 = 100, p = .08, o = 15% K = 100 m=3% T =

Exercise 1.6 - Dynamic Delta Hedging For the following values, 5 = 100, p = .08, o = 15% K = 100 m=3% T = 1 Year No dividends Calculate the delta hedge for a sold position of 100,000 call options like in the book using 100 trials. Stock paths are generated with mean u and volatility o. 0 Calculate the average value and standard deviation of the trials using Weekly (52) steps? 0 Calculate the average value and standard deviation of the trials using Daily (252) steps? 0 Compare to the Black-Scholes value? 0 Redo the analysis with o = 20%? o Redo the analysis with p = 4%

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